How do you develop a plugin for IE?

If you really want to write a plugin and not a browser extension:
The term for internet explorer plugins is - misleadingly - content extensions. Specifically they are implemented as ActiveX controls. MSDN also features an article specifically about ActiveX controls for IE.
If you go that road, note that ATL eases most of the aspects of COM/ActiveX implementation.

If you want to have cross-browser support though, i'd personally go with Schnapples suggestion of using FireBreath as it gives you an abstraction layer over the major differences.