Microsoft says the new feature will reduce the impact of socially engineering attacks. The new filter uses URL and application reputation ratings to preempt the installation of malicious or suspicious apps. 95% of previously undetected malware is deleted by users when presented with the Application Reputation warning. Ninety percent of IE9 Beta and RC users were never shown a warning because they downloaded only reputable programs. Between 20% and 40% of downloaded files that do not have an established reputation are eventually classified as malicious. These are malware downloads that have managed to bypass all existing solutions.
Source: https://threatpost.com/ie9-adds-application-reputation-filter-031111/75018/