I tried setting the header as your example above at the top of the PHP file I run when the page loads and I also tried it with a few other preference settings in case your example was disagreeable to Medium High privacy on IE8. I also tried setting it via .htaccess like so:
Header append P3P 'CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"'
Neither method made a difference.
To be more precise, either method will set the header. Web Developer Tools in Firefox display the Response Headers as:
Server: Apache/2.4.4 (Unix)
P3P: CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"
Last-Modified: Fri, 05 Apr 2013 17:28:09 GMT
Keep-Alive: timeout=15, max=98
Date: Thu, 09 May 2013 17:09:46 GMT
The trouble is that Internet Explorer 8 remains resolutely unimpressed.