I installed IE8 on a Windows XP SP3 computer (new and clean install, fully patched system, running Windows Defender, NOD32 antivirus and windows malicious software removal tool). I used it for about 2 days (with a limited account) and then I ran a SpywareDoctor* scan.
It found a spyware called Spyware.BaiDu!
No warez, porn, file-sharing site was visited and I haven't installed any toolbars or adds-ons.
Any ideas how to avoid such infections?
It'd be interesting to see a test in which somebody visits specifically dangerous sites with IE8 and see how many malware is picked up.
( I won't do it for you... 
I copy here the log file of SpywareDoctor.
Notice that it seems that the spyware modified registry. Again: it was used under a limited account. :-/
( *SpywareDoctor is a software which is included in Google Pack - a collection of essential softwares distributed by Google. )
2009.03.22. 21:34:30:390
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Value
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{77FEF28E-EB96-44FF-B511-3185DEA48697}, BlockType
2009.03.22. 21:34:30:390
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Value
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{77FEF28E-EB96-44FF-B511-3185DEA48697}, CompatibilityFlags
2009.03.22. 21:34:30:390
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Value
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{77FEF28E-EB96-44FF-B511-3185DEA48697}, DllName
2009.03.22. 21:34:30:390
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Value
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{77FEF28E-EB96-44FF-B511-3185DEA48697}, MasterCLSID
2009.03.22. 21:34:30:390
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Value
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{77FEF28E-EB96-44FF-B511-3185DEA48697}, Version
2009.03.22. 21:34:30:390
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Key
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{77FEF28E-EB96-44FF-B511-3185DEA48697}
2009.03.22. 21:34:30:421
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Value
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{B580CF65-E151-49C3-B73F-70B13FCA8E86}, BlockType
2009.03.22. 21:34:30:421
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Value
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{B580CF65-E151-49C3-B73F-70B13FCA8E86}, CompatibilityFlags
2009.03.22. 21:34:30:421
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Value
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{B580CF65-E151-49C3-B73F-70B13FCA8E86}, DllName
2009.03.22. 21:34:30:421
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Value
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{B580CF65-E151-49C3-B73F-70B13FCA8E86}, Version
2009.03.22. 21:34:30:421
Infection was detected on this computer
Threat Name - Spyware.BaiDu
Type - Registry Key
Risk Level - Medium
Infection - HKEY_LOCAL_MACHINE\\SOFTWARE\Microsoft\Internet Explorer\Extension Compatibility\{B580CF65-E151-49C3-B73F-70B13FCA8E86}
