Happy day, if you get this dialog box: 


This screenshot comes from Zdnet article Vista passes one security test that points out some of the benefits of the multiple levels of security in IE7 and Windows Vista, with respect to the zero day issue warned about in and Microsoft Security Advisory and fixed yesterday with MS06-055.  My favorite quote is this:

Now, it's important to note that the developers of IE7 clearly had no idea that this vulnerability existed in IE6. But their development process managed to block this particular exploit right out of the box, and the additional layers of security provided important clues that this page was potentially dangerous.

Of course, the security isn't perfect, but this is the sort of demonstrable progress that is very encouraging.