As you know there are too many spam websites available online,It could be dangerous if your computer communicates with these unsafe websites.Internet explorer version 9 got a much improved smart screen filter,it will prevent these phishing sites from opening any injection programs and also you can report any spam suspected websites to Microsoft from your Internet explorer itself.
How to report unsafe websites ?
Go to your internet explorer->click on settings move to safety and then click on report unsafe website.
Now Microsoft screen filter website page will be opened.Now tick the problem you are facing with the website and put proper CAPTCHA to submit that phishing or spam website.
Microsoft will do further analysis for this website and if found unsafe they will block this website next time you use the web browser.