I haven't used IE in ages, but I'm sure there are some websites out there that will guide users through securing it. I think the last time I used it, you could even select some sites to be treated as "known" or "trusted" sites that can safely run things like javascript or vbscript (which is very scary) or whatever.

If you do continue to use IE, you should make sure that you are using the very latest version, as MS tends to not update older products, and many of them have very well known vulnerabilities. Some of which might even bypass the security stuff you set up above.

If you don't really believe that IE is more vulnerable, you should do a little reading. Basically, in order for MS to allow some of the neat things (like install an active X control, or allow remote sites to do things like scan your computer for viruses through the website), it has to write software that is both very complex, but also allows remote sites to be granted access to things that really weren't expected websites to do. Unfortunately, as you add complexities, there is more room for mistakes- and these are where the really bad wholes that we hear about come from. It's not a myth that IE is more vulnerable than Firefox or other browsers. It's just the nature of letting the browser do so much, that makes it so hard to keep things running safely.