One of the ways is to load your code into that process (iexplore.exe) and hook the file creation/writing APIs. This will give you the way to alter that process IO.
But why would you do that? This will look like pretty malicious activity.
Are you sure, there is no way to solve your problem without doing what you've asked?
Update - I hope what you are saying is true.
Introduction
Windows Hooks
The CreateRemoteThread & LoadLibrary Technique
-- Interprocess Communications
The CreateRemoteThread & WriteProcessMemory Technique
-- How to Subclass a Remote Control With this Technique
When to Use this Technique
Also, do some searching on the subject of hooking, there are a lot info on the Net.