Internet Explorer 8 in XP, don't saves passwords anymore. Only in Windows 7, it do save passwords.
Internet Explorer is dangerous only in Windows XP, where it is a part of the core of the system and any damage to it, results in killing the Windows (Reset IE in Windows XP causes damages to the hebrew interface of Windows Explorer and Outlook Express).
In Windows 7 however, IE8 it is much better (It don't have the ActiveX option anymore), and the version 9 is even more. IE isn't an internal part of Windows in Windows 7.
I still use Firefox, because of the addons that allows to me to get rid of ads and dangerous links with Noscript and Adblock Plus addons and also because of the ease of storage passwords and backup the data and the bookmark with MozBackup.
The IE that is REALLY dangerous is IE6, which the majority of the business in Israel, uses (Such as Carmel hospital), and it is very slow and always stop responding when it feels like.