用Jmeter Proxy, right click WorkBench, and add Non-Test Elements-->HTTP Proxy Sever, at the same, set your IE connection-->Lan setting-->in "Proxy server", select "Use a proxy server....", and address set as: localhost; port: 8080
After the seting, on Jmeter, select target controller, mean you want save the samples to where, then click bottom button start, you can do some on your IE, and you will find it recorded in target controller