You can turn on the Status bar either through the menu system by pressing Alt on your keyboard to show the menu bar and then navigating to the View, Toolbars, Status bar menu item.
Another approach to showing the Status bar is to right-click on title/tab area and choose the Status bar option from the context menu.
In my testing if you start the browser normally the Status bar behavior I'm about to describe will not work.
If you launch IE 9 from a pinned site, however, this Status bar behavior usually works.
To pin a site, drag the icon that is on the address bar to the Windows taskbar.
In your Advanced settings, if you have the 'Display a notification about every script error' option turned off then even if you have the status bar visible, you will not know there was an error.
The following is a screen shot of a website launched from a pinned site that has thrown an error (the status bar doesn't indicate that there was an error):
Internet Explorer has a set of tools built in called Developer Tools and they can be displayed by pressing F12. The following is a screen shot of the Developer Tools window:
The trick with the Console tab of the Developer Tools is that the error log only starts logging errors once the Developer Tools window is opened.
You will need to repeat the action that triggered the error in the first place to see the error in the Console tab.
The only issue with the Console tab's error logging is that it only starts logging errors once the Developer Tools window has been opened forcing one to repeat the steps to try and trigger the error again.