... so might as well post it here.

According to an article by Secunia , there are three bugs in IE even after SP2.

1) Insufficient validation of drag and drop events from the "Internet" zone to local resources for valid images or media files with embedded HTML code. This can be exploited by e.g. a malicious web site to plant arbitrary HTML documents on a user's system, which may allow execution of arbitrary script code in the "Local Computer" zone.
2) A security site / zone restriction error, where an embedded HTML Help control on e.g. a malicious web site references a specially crafted index (.hhk) file, can execute local HTML documents or inject arbitrary script code in context of a previous loaded document using a malicious javascript URI handler.

Successful exploitation may allow execution of arbitrary HTML and script code in a user's browser session in context of arbitrary sites, or execution of local programs with parameters from the "Local Computer" zone using a HTML Help shortcut.
3) A security site / zone restriction error in the handling of the "Related Topics" command in an embedded HTML Help control can be exploited by e.g. a malicious website to execute arbitrary script code in the context of arbitrary sites or zones.
Secunia has an online test to see if you are vulnerable. As of the article, there is no official patch available, and interestingly enough, advise users to switch browsers.