According to an article by Ars Technica and work done by the NSS labs:
Second place went to IE8 with Safari 5, Chrome 10, and Firefox 4 coming in third. The report also gives the percentages attained by each browser at blocking malware. Both IE9 and IE8 were in the 90% or above area.
Internet Explorer 9 utterly dominates malware-blocking stats
Internet Explorer 9's dual-pronged approach to blocking access to malicious URLs—SmartScreen Filter to block bad URLs, and Application Reputation to detect untrustworthy executables—provides the best socially engineered malware blocking of any stable browser version, according to NSS Labs' Link Removed due to 404 Error.
Second place went to IE8 with Safari 5, Chrome 10, and Firefox 4 coming in third. The report also gives the percentages attained by each browser at blocking malware. Both IE9 and IE8 were in the 90% or above area.
Internet Explorer 9 utterly dominates malware-blocking stats