Perhaps IE6 uses a font without an em space. Missing characters are often shown as boxes. If this is true then the question is not why does IE6 display a box instead of an em space?, but instead why does IE6 not use the font that has an em space?
You say that you are using Georgia. On my computer I did not find an em space in the Georgia font. Perhaps the other browsers tries to use another font having an em space or doesn't use the box character to indicate a missing character.
One way to look for the em space character is to use Character Map available in Accessories. If you check the Advanced view check box and selects Unicode for the Character set and sets Group by to Unicode Subrange you get a Group By box to the right. The em space is found in the General Punctuation category. It might be hard to spot as it is... well, a space.