As I mentioned in this eWEEK story on the conspicuous absence of information on security-themed goodies in Internet Explorer 8, it looks like the browser refresh will have some form of malware protection.
This screenshot from Microsoft showing the new Safety Filter suggests there's a drive-by malware-blocking component:
From Microsoft's explanation:
"The Safety Filter continues to block known Phishing sites and now blocks sites known to contain malicious softwarethat could harm users' computer or steal their information."
It looks like IE 8 users will be able to use the Tools dropdown to turn on/off the Safety Filter or check Websites on the fly for potential dangers. Microsoft is now allowing IE users to report unsafe Web sites.
The existing Phishing Filter in IE 7 uses a client-side whitelist and a server-side blacklist to flag offending sites so it's a safe guess that this has been extended to include sites rigged with malicious executables.