According to ARS Technica, Microsoft goes out and pays a company named NSS Labs to report on Internet browser security and look what they find. NSS Labs believes that the biggest security risks to a browser are socially engineered malware followed by phishing attempts. So the company tested a range of browsers to see how they handle these threats. At the end, IE8 came out on top followed by Firefox.
Seeing as the tests were paid for by Microsoft, it would be a shock if anything other than IE8 won. But the question is, can you really trust the results? On the surface, the results have to be treated with some amount of suspicion because of who paid for them. I would love to see another party run similar tests to validate or disprove these results.