This week's book giveaway is in the OCMJEA forum. We're giving away four copies of OCM Java EE 6 Enterprise Architect Exam Guide and have Paul Allen & Joseph Bambara on-line! See this thread for details.
There is no standard mechanism to do this, and I doubt that IE provides a proprietary facility to do so, but you'd have to check the MSDN site to be sure.
Since you originally posted this to the JSP forum I assume you are wanting this for a JSP-generated page. What you might consider is writing your own custom image tag that would check for existance of the file and substitute a non-ugly replacement image of your own.