I sincerely hope you are trolling (bkspc)(bkspc)(bkspc) Joking.
I'm using IE-8 and I've never encountered this SmartScreenWhatever? I've seen it plenty of times on Firefox though, and think it's a good idea. Maybe these warnings would have stopped me from downloading FoxTab (PDF creation tool) and infecting my laptop. Lesson learned.
Of course if users ignore the warnings ("DANGER: Malicious site. Proceed? YES"), then it doesn't do much good. I suppose they deserve whatever they get. Sadly my brother is one of those and I spend a lot of time cleaning-up his computer, because he just clicks "yes" to everything. I don't think he even bothers to read the warning.