There isn't native support in terms of there being a standard PHP WebSocket object natively available.
You'll need to use a library.
The next thing to consider is how the WebSocket server runs. Normally PHP runs in Apache, Nginx (via FastCGI) or on Microsoft IIS (via Fast CGI). With Apache and IIS this may be a problem as it's not really built with persistent connections such as WebSockets in mind. I'm not sure about Nginx. This is why most PHP WebSocket libraries will be built as standalone libraries to be run as their own processes.
Note: IE10 is now released in Windows 8
Also see: Ajax push system