If you use the Windows Animated Cursor settings on your PC, you are vulnerable to a web-attack through an unpatched hole in the way Windows processes ANI files. The animated cursor setting creates a cartoon-like cursor in Windows (personally, rather annoying).
This flaw in Windows is a Zero-day flaw, meaning web-attacks have been spotted already. Some third-party Internet security vendors have released their own patches which can be downloaded, eEye has a temporary patch, for example. However, Microsoft recommends that users avoid these temporary patches and said that it will be releasing a patch for this through its “Patch Tuesday” program.
I recommend that you disable Windows Animated Cursor and avoid the whole issue completely :).