Even if you aren't switching to Firefox or other browsers, I highly recommend keeping up to date on Windows Update; news on this exploit just came out today.
The gist of the issue is that if you view a certain kind of bitmap image using IE 5, it can then install arbitrary programs on your system. I'm sure that most people have upgraded to IE 6, but this is something to be aware of for those who haven't.
Microsoft hasn't had time to respond to the issue yet, so there isn't a fix for IE 5. If you haven't upgraded from IE 5 yet, you may want to stick to trusted sites, or consider going to 6 unless you have a good reason not to.
References:
http://www.securityfocus.com/news/8060
http://www.securitytracker.com/alerts/2004/Feb/1009067.html
New IE 5 Exploit
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