Apparently, IE 8 and below doesn't like "application/json" mime type in ajax response. When it receives the response, it tries to download it as a file, and prompts a "Save as" dialogue. Although the standard json mime type is "Application/json", you need to use "text/plain" to fix this issue, So if you are using .Net MVC you need to use:
return Json(result, "text/plain");
Where "result" is the object you want to convert to Json.
Important: Do not use "text/html", it creates an XSS flaw in your application. See here for more info