According to an independent security research and testing organization, Internet Explorer 9 blocks up to seven times more socially engineered malware than other browsers.
Testing carried out by NSS Labs showed that Microsoft's SmartScreen continues to offer industry-leading protection against socially engineered malware.
IE9's mean block rate maintains an excellent score across all regions:
IE9 also has an extremely impressive mean time to block score, far exceeding other browsers:
So, it seems that unless you use IE9, you're doomed to choke on socially engineered malware.