How to protect from AVE.EXE?

I was recently browsing and came across a suspicious website on IE8, and it proceeded to load on the ave.exe trojan. I ended its process tree in resource monitor and then found and deleted its keys in the registry. This seems to have removed it. It's a nasty bugger that runs itself again everytime an executable is opened. What concerns me is that I run very tight security zone settings in IE8 on a fully patched system, yet somehow this was able to get in without my consent. I also have Win7 set to prompt me anytime a program runs, but this didn't phase it a bit. I would like to know what hole this trojan is exploiting and what settings I might change in IE8 to prevent it from hijacking my computer again. Does anyone have any experience with this?

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