I found out after much puzzling that IE will show the line number where the error happened from the file. So if you load foo.js and an exception occurs on line 731, IE will tell you only the line number. You have to find out for yourself which file is the cause. Oh, and you should subtract 1 from the line number.
Why is it impossible for IE engineers to provide helpful error messages? Is it so hard to actually show the filename as well?