If you can find an older service pack cd, isp cd, or even PC magazine cd, you have a good chance of finding IE 4 on there. Install normally (be sure to select active desktop) then upgrade again to whatever version you want.
I wanted the most up-to-date version of IE 4 though, so after doing some digging I was able to find that MS still had the files up, but the install program could not download them. I went through my cd\'s till I found an older IE 4, got the list of files, then downloaded each one individually (btw it worked fine). When I have some more time I\'ll see if I still have that and if so I\'ll try to zip it up and upload it to the site.