Amid all the hubbub about the first beta of IE 8 the security features haven't gotten a lot of attention. Part of the problem is that Microsoft hasn't disclosed a lot, but it does appear that the browser will block malware.
About its Safety Filter feature, Microsoft in IE 8 (Techmeme, Adrian Kingsley-Hughes and gallery) says the following:
The Safety Filter continues to block known Phishing sites and now blocks sites known to contain malicious software that could harm users’ computer or steal their information. Beyond this improved protection, the Safety Filter operates more quickly than ever before to ensure that users can browse both safely and quickly.
IE 7 has a phishing filter to warn people about spoofed sites. It now appears that Microsoft is stepping up its game with the next IE.