Much like the Apple security myth and the Oracle security myth - the numbers just aren't there to support it as our very own Mythbuster - Jeff Jones explains in the blog on the topic.

"Over the past 3 years, supported versions of Internet Explorer have experienced fewer vulnerabilities and fewer High severity vulnerabilities than Firefox, a result that stands in contrast to early assertions by Mozilla that Firefox "won't harbor nearly as many security flaws as those that have Microsoft's Internet Explorer."1 "

http://blogs.technet.com/security/archive/2007/11/30/download-internet-explorer-and-firefox-vulnerability-analysis.aspx