While you browse the web, the phishing filter in Internet Explorer runs in the background. With your consent, the anti-phishing feature sends the web address of the site to Microsoft and compares it against lists of known phishing sites. If you are using IE8, the SmartScreen Filter in IE8 compares the site against lists of known malware sites as well.
If the phishing filter discovers the website that you want to view is on the list of known phishing sites, Internet Explorer will display a blocked webpage or the Information Bar in IE7 will appear to notify you that the automatic and unsafe download has been blocked:

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