Wow. Apparently, rather than fix the security holes in IE, Microsoft would just rather you not actually click on links:
The most effective step that you can take to help protect yourself from malicious hyperlinks is not to click them. Rather, type the URL of your intended destination in the address bar yourself. By manually typing the URL in the address bar, you can verify the information that Internet Explorer uses to access the destination Web site. To do so, type the URL in the Address bar, and then press ENTER.
Why not just recommend avoiding browser security problems at all by watching TV instead??!