The independent security research and testing organization, NSS Labs, just released two reports that say Internet Explorer leads the field in protection against socially engineered malware, specifically fake links that you might see in an email or on your social networking site.
According to the report, Internet Explorer caught 96% of this kind of malware.
Source: NSS Labs, August 2011 – Global Socially Engineered Malware Protection
Read the full report. (PDF)
More information about how Internet Explorer 9 protects your computer from malware.