http://www.microsoft.com/protect/yourself/password/checker.mspx

Password Checker does not collect, store, or transmit information beyond the computer that you use to access Password Checker. The image works on your computer desktop until you navigate away from the page.

The security of the passwords entered into Password Checker is similar to the security of the password you enter when you log into Windows. The password is checked and validated on your computer, but is not sent over the Internet.