I've installed some time ago - I was a little scared about it (you know all this SP2 horror stories - but all went good.
If you know exactly what are you doing with your comp then disable this new ms firewall shit because it's nothing good. Just tweak some security settings in IE and OE and it should be everything allright.
And you can probably just visit some site where there is activex (which you don't have installed on your comp like dialer or other shit) - first time after SP2 when I visited such a site it was "What the fuck!?!" - it was fun
EDITED: this "activex thing" is of course when you're using IE