I'm not sure how long this feature has been around, or how common it is, but I've just (accidentally) discovered that you can copy a modal dialog box, such as the message box you get with the alert(..) java-script function.
For example, click here to pop up a window, then while it has the input focus (which is immediately after it pops up) just press CTRL + C and you'll get a nice tidy text representation of the contents of the message box.
This is so handy, I can't believe I only discovered this today.
John.
It's not just in IE, it's in every modal alert box such as crash reports, etc.