IE7 operates in a "sandbox' by default, and UAC act alot like sandboxie-
IE7/8 can be set to block all cookies (and only allow those that you specifically allow), or just block 3rd party tracking cookies. UAC when used prevents autorun of executable programs without your authorization.
On Windows Vista, Internet Explorer operates in a special "Protected Mode", that runs the browser in a security sandbox that has no access to the rest of the operating system or file system, except the Temporary Internet Files folder. When running in Protected Mode, IE7 is a low integrity process; it cannot gain write access to files and registry keys outside of a user profile's folder. This feature aims to mitigate problems whereby newly-discovered flaws in the browser (or in Add-Ons hosted inside it) allowed hackers to subversively install software on the user's computer (typically spyware).