IE7 here - seen nothing.
Internet Settings: Medium-High (default)
Also: Give (hardly) no site Trusted status.
Personally I like F-Prot for a mere $29.95 a year. (for use on up to 5 boxes I think) Out of Finland. Top notch. Better than Kaspersky imo. They won't stop hijackers if you are too loose on your browser settings but they will stop all virus and trojans as well as anyone.
It updates everyday and I don't even notice its on.
http://www.f-prot.com
I used to give lots of sites Trusted status. Got a hijacker and eventually had to reformat. Since then I run ultra tight settings on IE7 and (knock on wood) no problems.
Trusted status is hardly never needed. Medium-High "Internet" settings eliminates most of Active-X stuff. It disables alot of other stuff too and yet I get around fine.