This indicates an attack attempt to exploit a Memory Corruption vulnerability in Microsoft Internet Explorer.
The vulnerability is due to the way Microsoft IE handles HTML files that contain specially crafted XML data. A remote attacker may exploit this to execute arbitrary code.
Microsoft IE 5.01
Microsoft IE 6 SP1
Microsoft IE 6
Microsoft IE 7
System Compromise: Remote attackers can gain control of vulnerable systems.
Apply the patch, available from the vendor's website: