From CNET:

Microsoft is warning Windows users of a new “critical” vulnerability that affects all versions of the company’s Windows operating system.

The issue, detailed in Security Advisory 2501696–which was released last week–details a vulnerability in the way Internet Explorer handles MHTML on certain types of Web pages and document objects. As a result, hackers and other third parties that exploit the vulnerability can gain access to a user’s information, or their computer through script injection.

Microsoft has more information here including what you can do about it. You have to scroll down until you get to “Mitigating Factors and Suggested Actions”.