This is quite annoying, for example, if you want to trigger some other page changes off of the selection of a radio button in a radio button group changing. Some may suggest using onClick instead, and while that may be sufficient for a checkbox, for radio buttons, this is not a good solution. The problem is that onClick will fire when you click the radio button that is already selected, so you'll get your code triggered even when the value doesn't change.
Here's a quick hack that worked for me. On IE, handle the onClick event of radio and checkboxes and have it blur and re-focus the input element. This will trigger it to signal the onChange event like you'd expect from a decent browser. Then, you can go about your business using the onChange event like you should, and it will work correctly for you across the popular browsers. (WARNING: Of course, if you have other code triggered off of the blur and focus events, your mileage may vary.)
Here's an example of how you might do this using jQuery:
if ($.browser.msie) {
$(function() {
$('input:radio, input:checkbox').click(function() {
this.blur();
this.focus();
});
});
}