I had the same problem. A fix I found really worked: change the permissions for the temporary IE files.
I found the fix in the known problems section from here: MS07-027: Cumulative Security Update for Internet Explorer

I allowed full control for the temp ie files folder for all the subdirectories for the current user (I also had to use the Advanced options to check "Replace owner on subcontainers and objects" first) and then it works without disabling the phishing filter....