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Browser security: what about alternate Web browsers? whoa, he's writin' an essay! :o
Use an alternate browser instead of Internet Explorer if you prefer, but don't make it your answer to security. All web browsers, and their add-ons and plug-ins, will always have exploitable security vulnerabilities. The first step in browser security is not to trade one set of browser vulnerabilities for another set, but rather to put ALL of them into a cage, by depriving the browser of Administrator-level privileges at a minimum.
The second step to browser security is still not to trade one set of browser vulnerabilities for another set... it's to make sure your browser add-ons / plug-ins are up-to-date. A perfectly-secure browser can still be used to exploit a vulnerable version of Flash Player, QuickTime Player, etc. Browser extensions are the big "attack surface" today, not the browser itself. This was brilliantly demonstrated by Flash-driven "clipboard hijacking" attacks in 2008 that worked on Linux, Mac and Windows, regardless of the web browser.
On Windows Vista, Internet Explorer enjoys proactive security enhancements you won't get with any other web browser, and they cover both the browser and the add-ons, so Internet Explorer is an especially desirable browser on Vista systems. In my opinion as an experienced malware hunter, this sets a new standard for browser security on Windows systems. For a specific real-world example, read this article.

Internet Explorer runs in Protected Mode by default on Windows Vista. For more information on Protected Mode, try this moderately-technical TechNet article.

Windows Vista runs Internet Explorer at the lowest Integrity level available, as an additional damage-containment countermeasure. If you're interested in Windows Integrity Control, see this 2-page article at SecurityFocus.
Advanced countermeasures: preventing malicious scripts, Java applets, and ActiveX controls from running Security-oriented users of the FireFox web browser like the NoScript extension to limit script execution to just "approved" websites. That's definitely a meaningful reduction in "attack surface," and Internet Explorer has actually had that capability since IE 5.01, released about ten years ago. If you'd like to try it out, here's a narrated YouTube video showing how to implement that restriction by using Internet Explorer's security Zones. It's not without its hassles, but that's true of any type of "whitelisting."
In addition to selectively disabling Javascript / active scripting as shown in the video, you can also use the Zones to selectively disable ActiveX and Java applets (Java is different than Javascript). If you have Internet Explorer 7 or 8, ActiveX is already disabled for all ActiveX controls except the ones you've "opted in" yourself. more information on ActiveX opt-in
Remember that legitimate mainstream websites are routinely hacked, so don't assume that these techniques protect you from all scripted attacks. But whether you prefer Internet Explorer or some other browser, restricting Javascript, Java applets and ActiveX controls to just a whitelist of trusted sites is certainly a security enhancement, if you can live with the maintenance of it.
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