Microsoft has added new security features progressively with each version of Internet Explorer. For e.g., IE 7 introduced a phishing filter, and IE 8 added a cross-site scripting filter and InPrivate browsing for better protecting the users' privacy.
Summarizing changes in IE9, the most important security feature is "Download Manager with SmartScreen" filter integration. SmartScreen download reputation is a browser feature that uses reputation data to remove unnecessary warnings for well-known files, and shows more severe warnings when the download has a higher risk of being malicious. This reduces the problem of having the users ignoring or deactivating these warnings if they appear too often. The dm also performs some malware checks, digital signature checks, and so on.
Something closely related to security is the approach to separate the core from the 3rd party functionalities like plugins and addons. IE9 is naming this "Hang recovery" and "Automatic crash recovery".
Another feature called "Add-on Performance Advisor" audits all add-ons and allow the user to close those which're slowing down the browser.
And, for enterprise users because IE9 now has over 1500 Group Policy settings built in, allowing IT professionals to tweak the browser in many ways.