[Jquery UI bug] bgiframe doesn't work on IE8 & Window 2003

Please check with the link below:
http://www.java2s.com/Code/JavaScriptDemo/jQueryUIDialog.htm

It only works on IE8 & Window7, when I debug it and can see IFRAME tag in side the dialog

But with IE7/8 & windows XP/2003 or Firefox, no IFRAME at all.

is it a bug?