[jQuery] Problem with prev() in IE

This code works fine in FF and Safari but (surprise, surprise) not in
IE6.

$("#LHNav ul").prev('li').each(function(){
alert("Loop");
});

I have narrowed it down to giving prev() some value to filter by. IF I
try it like this:
(notice the missing "li")

$("#LHNav ul").prev().each(function(){
alert("Loop");
});

It works fine. Why does IE always have to be so buggy and particular?