Well, the Steam ingame overlay browser was IE-based and they switched to WebKit a few months ago. Huge step forward. Wouldn't that be an option?
Working with WebKit (or Chromium more likely, it's a nicer base) it far more complex than doing an IE COM embed. I don't know much about how Valve did it, but I've spoken with the guys that did the WebKit conversion for CCP and it is poorly documented and very finicky. That said, it would be really nice :-)