Internet Explorer 9 doesn't create cache files when accessing www.mysite.de.
It did create cache files when accessing mysite.de (without the leading www).
I then changed my .htaccess file so that all requests are redirected to www.
Now when I access www.mysite.de with Firefox, the cache file is being created. When I access the same site afterwards with IE9, I'm correctly served the cached page.
Thanks for any idea !