We've noticed an increase in the prevalence of Y!/MSN-aware worms. These rely on various social engineering tricks to lure the user into a malicious website. For instance, IM-Worm.Win32.Qucan.c sends messages like this:
Of course, if you have Firefox or Opera set as the default browser, the exploit doesn't work.
BTW, if you're still - for some obscure reason - using IE, it may be worth checking v7, which was just released. It works only on XP+SP2, though.