http://bugs.winehq.org/show_bug.cgi?id=29574
--- Comment #3 from Nikolay Sivov bunglehead@gmail.com 2012-01-09 06:36:21 CST --- It works for me with wine iexplore, so the problem is likely cause you're using native urlmon shipped with ie8. And the reason state is not updated is probably because bind callback sequence differs or something like that.
So this really is about builtin urlmon being compatible/replaceable with native one.