I strongly recommend that you use the Phishing Filter in Internet Explorer 7 or the SmartScreen Filter in Internet Explorer 8 to protect your personal and financial information.
Windows Internet Explorer 8
To turn the SmartScreen Filter on or off, follow these steps: Start Window Internet Explorer 8. On the Safety menu, point to SmartScreen Filter, and then click one of the following: Turn On SmartScreen Filter Turn Off SmartScreen Filter In the Microsoft SmartScreen Filter dialog box, click one of the following, and then click OK: Turn on SmartScreen Filter (recommended) Turn off SmartScreen Filter For more information about the SmartScreen Filter, visit the following Microsoft Web site: click here (click here) Windows Internet Explorer 7
To turn the Phishing Filter on or off, follow these steps: Start Windows Internet Explorer 7. On the Tools menu, point to Phishing Filer, and then click Turn On Automatic Website Checking or Turn Off Automatic Website Checking. Confirm the selection, and then click OK.
I don't think ponytail is referring to the Phishing filter - but as johnnyrocker says in the absence of fuller information it's difficult to know. The link refers to s.yimg.com appearing in the taskbar and seems to be related to Yahoo Mail - see this: