Look, people, this can't be said enough . . . . if you must run Windows, fer gawdsake just don't use MSIE, OK? This appears to be a facet of the same vulnerability Georgi Guninski discovered three years ago, which strongly argues that Microsoft can't fix it. With the combination of this and December's MSIE Hole of the Month, a hostile site can lie to you both about what web site you're on and what you're downloading from it.
Remember, anything that's just a wrapper around MSIE (Avant, to name but one) is just as vulnerable. Unless there's something on a known, trusted site that you MUST use MSIE for, do yourself a favor and install Mozilla, Firebird, Netscape or Opera instead. And when you must use MSIE, don't click untrusted links, type the URL in yourself. That'll help keep you from being 0wn3d.
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DON'T (WHAM!)
FEED (WHAM!)
THE (WHAM!)
BEAR! (WHAM!)
*sigh* Maybe if we pound on this issue hard enough and long enough, at least our friends will get the idea....