Why did it take so long time before anyone did something about this?, For long time ago, a Norwegian (Normann Antivirus?) company made such kind of Sandbox to isolate applications before running things in the wild.
Anyhow, now you can sandbox your IE: http://www.greenborder.com/consumer/
MS should have done this for long time ago.. oh, well..
Edit: And then Google bought them, another alternative:
For those who don't know what an sandbox is: