Roughly in order of priority:

Finish tests.

Unimplemented methods: success, set_property

Currently the user-agent is hardcoded.
Would be better if you could plugin/inherit your own browser code.

Cleaning up, documentation

Sync up with version 0.009_17 of Win32::IE::Mechanize.
(Currently based on 0.009.)

Suppress annoying confirmation dialog when submitting a form
for the first time (thereafter saved in profile).

Several methods from Link, etc., aren't implemented yet

Handle popped-up windows.

Basic authentication is unimplemented
(not sure how to set headers - possibly nsIWebNavigation
if I can figure out nsIInputStream)