Internet Explorer is just Microsoft's own web browser and it's quite common to see it specified when in actual fact any compatible web browser will do. The reason the writers of the CBT software have designed it to be opened in a web browser and not as it's own program is so that it has cross platform compatibility.
If you have not already done so try running it in OSX on Apple's Safari or Mozilla Firefox (another web browser that you can put on your Mac or on a PC). There is a excellent chance that it will work and if it does not try the following:
On the top bar: Safari > Preferences... > Advanced. Then tick the box for "show develop menu..."
Back on the top bar: Develop > User Agent > Then select the version of Internet Explorer that the CBT software has told you too use.
Safari is now emulating Microsoft Internet Explorer 6.0 (or whatever you selected). This mode is usually for Mac users who are web page authors to test their product to make sure those using other web browsers can see and use the page correctly. However it also comes in handy when using software or viewing pages that have been written badly and have compatibility issues.