A recent study by NSS Labs claims Internet Explorer 8 is more secure than Firefox 3, Google Chrome, Apple Safari 4, and Opera.
The test was to see if each browser was capable of withstanding common Web-Based attacks.
The numbers were pretty telling. IE 8 was able to block about 81% while FireFox only caught 54%. Chrome V2 only caught 7%, Safari 4 Caught 21% and Opera only managed to stop 1% of the attacks. The success of IE 8 is mostly attributed to the built in SmartScreen technology that screens websites for common attack vectors. Granted you can get something similar for FireFox but even so it still did not outperform the built in one in IE 8.