Does a material exist that is transparent to infra-red light, but is opaque to microwaves (S-Band, about 2.5 GHz)? I am basically looking for a filter I can put in front of a infra-red sensor.
For bulk material, you might try a slab of germanium. It's not a metal, but a metalloid, resistivity about 1 Ωm in its pure state, but will improve dramatically with doping, which may not affect its IR transparency in the 8 to 13 µm range. However, germanium is quite expensive and hard to come by.
If it's not an imaging sensor, then you could simply use a metal mesh, with hole sizes much less than the wavelength of the RF. For 2.4 GHz with a wavelength of 125 mm, holes less than 5 mm should provide a reasonable attenuation.
Microwaves can't pass through conductors such as metals. Infrared transparent conductors exist (see : https://patents.google.com/patent/US6761986B2/en or https://www.spiedigitallibrary.org/conference-proceedings-of-spie/4375/0000/Infrared-transparent-conductive-oxides/10.1117/12.439187.short?SSO=1) But they're space and defense engineering so they will not be readily available.
If you're not taking images with that sensor you could consider a metal sheet with holes similar to those on a microwave oven door. Be careful not to make those holes too small or you will block the infrared too. From 3 to 8mm should be enough to be safe from microwaves while still letting infrared pass through
if you want substantial attenuation, then plan to locate the sensor well behind the wire mesh ---- if the holes are 5mm square, then have the sensor at least that far behind/inside the shielding cage.
If a 1:1 ratio, you will get 6.28 nepers of attenuation. According to the lecture of Richard Feynman.
This stackX answer Why are many IR receivers in metal cages?
provides lots more details and theory on mesh-shields.
There are a lot of possible solutions here. Without knowing more, my preference would be to run an optical fiber from wherever your mixture of microwaves and IR light is to a sensor either far from the microwave source or sealed in a metal box.
Diameter of an SMA or APC connector is <<< your microwave wavelength, so you will not have ingress if you put a hole in your enclosure for a fiber.