Haha... nice...

I would guess they're thinking is that a lot of links are typically similar to "hey, come over to www.ebay.com and give us your login!"

What's even scarier is that tactic fails to prevent many common phishing tactics.  For instance, using a domain name that looks like the target in specific fonts (substituting 1's for lower case L's for instance) or misspelled domain names.  Not to mention that if a link spans multiple lines and it's sometimes tough for users to cut and paste the whole thing.  Microsoft needs to do their security reading (http://people.seas.harvard.edu/~rachna/papers/why_phishing_works.pdf) first before issuing statements like this

I am sure it will all be fixed once IE8 goes gold