Smallbeer, are you hoping to remove them from all the sites that you visit or remove them from sites that you produce?
Afaik, it's also possible to implement a user javascript in the same sense as a user css file.
It's not as simple as selecting a custom file, but it should be relatively straight forward as long as you aren't intimidated by the idea of spending a couple of minutes with your head under the bonnet modifying a file or two.
Also, fwiw, that 'onFocus/Blur malarky' will also kill the focus border on links in sites that you produce for users of all W3C DOM compliant browsers (incl. Moz, NN,Camino,...), not just IE.