There are many ways to improve IE security and I found a few links.  I've shared some advice previously, but probably your easiest way of hardening security is:

TOOLS ... INTERNET OPTIONS ... SECURITY ... INTERNET ZONE ... CUSTOM LEVEL

Then change signed ACTIVE X settings from AUTOMATIC to PROMPT (that change alone gets protected from hijackers, dialers, CWS, etc).  All my settings here are PROMPT or DISABLED. 

I stay on MEDIUM settings but you can try HIGH as well (you want to balance things so that IE doesn't become "promptware" but saves you from a highjacking or Cool World Search variant).   

I don't go overboard in ramping up IE security, as I mitigate the risk with Firefox and Opera. Finally "don't leave home with your Firewall, AV protection, and best practices"

SOME OTHER RELATED LINKS

http://www.google.com/search?q=internet+explorer+security

http://acd.ucar.edu/~fredrick/win2k/active_scripting/
http://www.jmu.edu/computing/info-security/engineering/issues/ie.shtml
http://netsecurity.about.com/cs/tutorials/ht/ht020203.htm
http://www.microsoft.com/windows/ie/security/default.mspx