Microsoft has released a Knowledge Base article, 870669, that describes how to implement a change manually that will disable the browser’s capability to leverage the ADODB.Stream object.

This could be a painful fix for many organizations as you may be using that object for certain file based Intranet applications.  Best thing to do is test the fix and see if anything you care about breaks.  Then you can roll it out.  There are steps at the bottom of the article that describe undoing the change, but this is a nasty exploit (manages to steal passwords and the like) so I wouldn’t wait long before paying some attention to it.