Y'know, I thought I'd posted something about this already, but seemingly not...
Alternatively install Noscript and AdBlock, which will protesct you from nasty stuff like this, but... do what the big man says. And if anyone designs a website that you have to navigate in Flash... stop visiting the website. Or even better still, kill whoever runs it. Slowly.
As an aside: I believe running your browser as an unprivileged user (IE7 Protected Mode under Vista, generally not running as an admin on a day to day basis) and UAC help protect against this.