This vulnerability affects all versions of Internet Explorer where an attacker can execute remote code with the same user rights as the local user. The attacker can use a web page with specially crafted content that could exploit this vulnerability. Users may end up on a similar web page through malicious links in E-mail or Instant Messenger messages.
It is recommended to use a good anti-virus program or an IDS/IPS system as a countermeasure which according to Microsoft have been quite effective at detecting and blocking attacks.
For more information on how to mitigate this risk visit Microsoft Security Advisory 2458511.