More security: disable risky plug-ins
For advanced users who want maximum security or enjoy tweaking settings, High is not the highest you can go. You can achieve "higher than high" security in the Restricted and Internet zones. In the Restricted Zone, absolutely everything possible should be disabled "on general principles" (even though you'll probably never use the zone, anyway). In the Internet Zone, two settings can be slightly lower than maximum because they are not that important and can be quite inconvenient, but Internet Zone security must still be very high for the reason given above: it includes all sites you've never visited before, and any one of them could be malicious.
A large text table of all the recommended settings for all the security zones is farther down this page.
The thumbnail at left goes to a composite screenshot of the recommended security settings for the Internet Zone only, as they appear in the Internet Options dialog box. (143 KB. After it loads, click the image to enlarge it.)