Here is how to use the IE developer tools to find a relevant script error message. It is long... that is why I don't post this approach much.
Refresh your cache and go to your website. Log in as an admin. Do *not* load the admin console yet.
Press the F12 key. When you do this, you will see a new pane open up at the bottom of your IE screen. That is the developer tools pane.
You need to get the Console part of the Developer Tools showing in the bottom pane. Trying to remember how it works in IE8...

I think there is a button or a tab that says Console... Click that. Also, you need to make sure debugging is ON. I think it is on by default with the Console showing, but I do not remember for sure.
Once you have the Console part of the Developer Tools showing and debugging is ON, then load the admin console, load Membership Management, and go through the steps that you did before that did not work correctly. Do the save step, but do *not* close Membership Management. You have to do this with the Console Pane *open*.
You should notice some warnings and messages showing up in the Console pane as you do this--those are what I am after. Don't worry too much about warnings... (Try this sometime on the Google Search page and you will see a number of them.)
Scroll to the bottom of the warning/error message list in the console to get the most recent ones. Use Ctrl-PrntScrn to take a screen shot of them, paste the screen shot into MS Paint, save the file, then attach that file in a message post here. I will take a look at it to see if there are any error messages that I can use as a clue about what is going on.
You can press the F12 key again to get out of developer tools. (it is a toggle)