The problem of using IE is that it is supposed to be less secure than other browsers, more susceptible to hackers etc. To run I think it also uses more of your machine's capacity. Probably not an issue with many people on a desktop computer.
It is a victim of its own success. As it is the most used browser, there are more people out there trying to produce nasties for it.
I use IE6 and a firewall and always keep it up to date with patches by regularly visiting the Microsoft website.
I haven't tried Firefox but have tried a couple of the others but returned to IE each time.