Microsoft introduced -ms-filter to make Internet Explorer more standards-compliant (CSS 2.1 requires vendor extensions to have vendor prefix). As the syntax of original filter property is not CSS 2.1 compliant, IE8+ requires the value of the -ms-filter property to be enclosed in quotation marks.
filter: alpha(opacity=40);
-ms-filter: "alpha(opacity=40)";
-ms-filter is supported in IE8+, legacy filter property is, as far as I know, for backwards compatibility supported in all versions of Internet Explorer.
Related link: http://blogs.msdn.com/b/ie/archive/2008/09/08/microsoft-css-vendor-extensions.aspx
Please note that support for filters may be removed in IE10.