There is a pragmatic reason for this. Because of the incompatibilities and quirks that emerged between web browsers from the 'Browser Wars', the same HTML generated may be rendered in different ways among browsers, which is why it is still important to check across different browsers.
One thing to note is that Windows' native PE executable format will not work natively on Linux, so it is necessary to install 'wine', a software compatibility layer in order for you to run Windows applications within a Linux environment.
Rather than fumbling around trying to install Internet Explorer manually via wine, there is a better way to do it. ie4linux is a prepackaged installer that will automatically do for you. From my personal experience, I have found it to be a really great and hassle free way to install Internet Explorer automatically.
(A screenshot of my blog rendered with IE)
Unless it's wine that's causing a problem, people using IE really should consider switching, given that IE's text rendering looks abysmal. The font display doesn't seem to be anti-aliased and the jagged edges are pretty visible.
It also looks like I'll have to generate better IE-friendly CSS as well, given that it doesn't look exactly the way I wanted it to. (The menus are a little off to the right.) Besides that, I can't be sure if the lack of transparency for my icons are there because of wine or an issue with my CSS code, which is a little troubling.
I do recommend ie4linux to those who are concerned with browser cross compatibility, especially when you are not using the Windows platform. If you're reading this from Internet Explorer, do leave me a note if my icon's transparency is incorrect, so that I can try to see if I can do something about it.