There is a problem when serving large MP4 or PDF ONLY in IE and it turns out that it was because of Range Retrieval Requests.
To make the story short (after being frustrated and started pulling my hair), it turns out that Sitecore by default uses Range Retrieval Requests for Media and there is a setting in the web.config that you can turn on/off
<setting name="Media.EnableRangeRetrievalRequest" value="false" />
If you want to read more about 14.35.2 Range Retrieval Requests http://www.w3.org/Protocols/rfc2616/rfc2616-sec14.html#sec14.35.2