Was able to successfully capture and create a thinapp'ed Internet Explorer 8 (using WinXP SP2). The one quirk I noticed is that IE refuses to work properly if the "use automatic configuration script' or "automatically detect settings" if selected from within the LAN settings in the IE control panel. If I set the proxy server manually then it'll connect fine to sites outside the corporate intranet. This is using 4.0.2-3089.
Thanks
Mike