The window.location.hash method is the preferred way of doing things. For an explanation of how to do it,
Ajax Patterns - Unique URLs.
YUI has an implementation of this pattern as a module, which includes IE specific work arounds for getting the back button working along with re-writing the address using the hash. YUI Browser History Manager.
Other frameworks have similar implementations as well. The important point is if you want the history to work along with the re-writing the address, the different browsers need different ways of handling it. (This is detailed in the first link article.)
IE needs an iframe based hack, where Firefox will produce double history using the same method.