Tariq Sharif from the IE Security Team posted an article on IE7's new Phishing Filter. This filter was designed to dynamically warn users if they visit a phising site.
I’ll cover the filter service communication flow, show you what some of the filter notifications look like, how can you report a phishing site and most importantly I will let you know the process of reporting an incorrectly marked site.
To use Phishing Filter, you will have to decide if you want to automatically check sites you visit against the list of known phishing sites on the Microsoft server, or if you only want to check when you have reason to suspect a site and opt out of automatic checking.
Check out IE blog to learn more about this filter.