Microsoft recommends that, until the holes are plugged, you set your
security setting to the max, and disable active scripting.
What I have done is switch to Mozilla until XP SP2 comes out, and hope that
IE will then be good enough to use again.
Good alternatives to Mozilla are Netscape 7 and Firefox -- both of which use
the Mozilla browser engine -- or Opera. But for some things you will still
have to use IE, because too many sites assume IE's non-standard features.
There have been many issues regarding this, and I still assert that the best
thing one can do is disable (or at least set to prompt) ActiveX and Active
Scripting. If you allow those to be enabled you are permitting *any* site
free reign to install and run *whatever they like on your* PC.