The June cumulative security update for Internet Explorer 9 is available on Windows Update. It fixes nine vulnerabilities that were reported in time before they were publicly revealed. The most severe of these are related to remote code execution if a user visits an attacker’s website. The user can then gain the same rights as the user.
Users with UAC (User Account Control) enabled are better protected against attacks. The update is on Windows Update, so you don't need to take any special action if you have automatic updates enabled. Otherwise, I recommend deploying this update as soon as possible, because the most vulnerable systems are in the time between the disclosure of the vulnerability and the installation of the security update.
The update is important for Internet Explorer 6, 7, 8, and 9 on Windows client and versions 7, 8, and 9 on Windows Server. For version 6 on Windows Server, it is only recommended.