That's good advice, on the Internet zone I always keep Javascript/ActiveX disabled, not only does it help protect users somewhat against exploits but you don't get popups either.
But this is a different exploit.....I don't think that helps with this one!
From Cicero's posting # 38 above......and see Company Man posting at #25.
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A new exploit has been discovered in the wild that affects fully patched Windows XP SP2 systems, according to reports by security firms F-Secure and Sunbelt. The malicious code takes advantage of a vulnerability in the WMF graphics rendering engine to automatically download and install malware.
WMF, or Windows Metafile, is a vector based image format used by Microsoft's operating systems. SHIMGVW.DLL is loaded to render the images and contains a flaw that opens the door for a malformed WMF image to cause remote code execution and potentially allow for a full system compromise.
Microsoft previously fixed a vulnerability affecting WMF and EMF files in November. That problem affected Windows 2000, XP and Windows Server 2003.