Secunia reports this as extremely critical.

Read more here at: http://secunia.com/advisories/22687/

Description:
A vulnerability has been reported in Microsoft XML Core Services, which can be exploited by malicious people to compromise a users system.

The vulnerability is caused due to an unspecified error in the XMLHTTP 4.0 ActiveX Control.

Successful exploitation allows execution of arbitrary code when a user e.g. visits a malicious website using Internet Explorer.

NOTE: The vulnerability is already being actively exploited.

Solution:
Microsoft has recommended various workarounds including setting the kill-bit for the affected ActiveX control (see the vendor's advisory for details).

Thanks Thomas

Firefox is a better choice every day