Michael,
we've tested the "Open in Filter Forge" function under MSN Explorer. Well... frankly, we are shocked at the way MSN is done
First, it wouldn't let us create a new account and threw an internal error. We had to use an existing account. Then, the security settings are a complete mess - for instance, after we set it to "High security level", it refused to let us into its own settings!
We didn't manage to reproduce the error you had, but after all we saw, we come to think that it probably was a glitch/bug in MSN Explorer.
Our sincerest recommendation is that you move to Firefox 2.0 or any version of IE. Everything works there

Well, nearly everything

But still.