Phishing Filter is designed to warn you if the website you are visiting might be impersonating a trusted website. Phishing Filter does this by first checking the address of the website you are visiting against a list of website addresses stored on your computer that have been reported to Microsoft as legitimate (“legitimate list”). (…) addresses not on the legitimate list will be sent to Microsoft and checked against a frequently updated list of websites that have been reported to Microsoft as phishing, suspicious, or legitimate websites. (…) the address of the website you are visiting will be sent to Microsoft, together with some standard information from your computer such as IP address, browser type, and Phishing Filter version number. To help protect your privacy, the address information sent to Microsoft is encrypted using SSL and limited to the domain and path of the website. Other information that may be associated with the address, such as search terms, data you entered in forms, or cookies, will not be sent.
Visit Microsoft’s website for more information on its Phishing Filter. http://www.microsoft.com/mscorp/safety/technologies/antiphishing/faq.mspx