There is a vulnerability in Internet Explorer via the Flash system. Flash is built into IE 9, 10 and 11. Previous versions required a separate install.
The bug could allow an attacker to execute code on your computer.
More information as well as steps that could help mitigate an attack are outlined here in this Microsoft Security Bulletin
Google Chrome and Mozilla Firefox are not vulnerable to this attack. I highly recommend using Microsoft EMET if you are going to keep using Internet Explorer. EMET is designed to detect this type of attack.
Update: You can turn Flash off in Internet Explorer using the instructions here.