From Microsoft's website
MORE INFORMATION
We strongly recommend that you use the Phishing Filter to protect your personal and financial information.
To turn the Phishing Filter on or off, follow these steps:
1. Start Windows Internet Explorer 7.
2. On the Tools menu, point to Phishing Filer, and then click Turn On Automatic Website Checking or Turn Off Automatic Website Checking.
3. Confirm the selection, and then click OK.
For more information about the Windows Internet Explorer 7 Phishing Filer filter, visit the following Web site:
http://www.microsoft.com/athome/security/online/phishing_filter.mspx