If you decide to stick with the IIF statement:
I noticed there was a missing comma; as below.
Change this:
to this:
CY: IIf([Pay Period End]<=#10/25/2008#,"CY08",IIf([Pay Period End]<=#10/24/2009#,"CY09",IIf([Pay Period End]<=#10/23/2011#,"CY10",IIf([Pay Period End]<=#4/23/2011#,"CY11"))))...