Online threats usually fall into one of three categories:

Attacks on you (socially engineered attacks)
Attacks on your computer, web browser, or add-ons to your web browser.
Attacks on websites (for example, cross-site scripting)

Windows Internet Explorer 9, the newest version of the Microsoft web browser software, helps better protect you from these threats. Internet Explorer 9:

Provides a better warning system for potentially dangerous downloads. A new feature, Application Reputation, helps you to make safer decisions when you download content from the Internet.
It uses available reputation data to prevent unnecessary warnings for programs with established reputations. It also shows a warning only when a download carries a higher risk of being malicious.
Filters content that might be dangerous. The ActiveX Filtering feature allows you to choose which websites can run ActiveX controls. By allowing ActiveX controls only on the sites you trust, you can reduce the number of ways cybercriminals can harm you.
Helps you avoid phishing scams and malware. SmartScreen Filter in Internet Explorer 9 helps protect you from websites that are suspected of hosting malicious content. When the SmartScreen Filter detects that a site may be unsafe, you will see an alert that will give you recommended actions. For more information, see SmartScreen Filter: Frequently asked questions.
Protects your privacy from online tracking. Many websites use technology that tracks your activities as you browse the Internet. Internet Explorer 9 introduces Tracking Protection, a feature that helps to protect your privacy from third-party online trackers.
You can install a Tracking Protection List from a provider you trust or enable your personalized list. Internet Explorer 9 uses the Tracking Protection Lists as a guide to block or allow third-party tracking.
Helps protect against cross-site scripting attacks. Cybercriminals look for vulnerabilities in website code so that they can insert malicious scripts which gather private information about site visitors.
Cross-site scripting vulnerabilities are an example of what these criminals try to find. Once they exploit the vulnerability, they can hijack your web account, monitor your keystrokes, and perform unwanted actions on your behalf. Internet Explorer 9 can identify certain types of such attacks and neutralize them by blocking their malicious code.