I noticed that when I show up a modal dialog using Jquery UI in IE, once I reach the last control in the modal dialog, the tab focus goes out of the modal dialog and into the other parts of the browser. This is not the behavior in FireFox, wherein the focus loops back to the starting control of the modal dialog.
To see how this weird behavior happens, here is the official demo of Jquery UI and try tabbing both in FireFox and IE.