Maybe if I just keep my hands in my pockets...

...I won't be at risk for IE vulnerabilities like this. I wonder about something like SecuireIE (I know that's practically an oxymoron). I found this review. Kinda middle-of-the-road. Doesn't sound like $30 worth.

Internet Explorer has a number of security features that users can customize to protect themselves as they surf the Web. Unfortunately many, if not most, of these features are disabled by default and require the user to do some research and some clicking around to find what they need to configure them. Winferno SecureIE automates the default security settings and grants the user significantly easier access to customizing these features as they go. Blocking Pop-up ads, ActiveX scripts and such requires 5 to 10 different clicks in Internet Explorer. SecureIE lets you turn these functions on or off at the click of a button on the main screen. There are also other productivity features that make this a worthwhile product for many users.

Here's another review from PCWorld. Fairly positive. It mentions pluses like tabbed browsing and minuses like "browsing the Internet through a Word document."

I haven't taken this (right click and "Save Target as") apart but it seems to be some of what SecureIE has. The write-up is here. I don't know enough about the registry entries to comment. It has a lot of web sites hard-coded though.

PS. I went to look some more at www.secureie.com. You gotta wonder about an organization that has a link of "javascript:screenShot('secureie_shot_01.aspx', 'SecureIEShot1', 606, 781)." This gives you a window that is taller than a 1024x768 screen and doesn't have scroll bars. Use this link if you want to see the screen shot.