From Charlie Heavner on the SMS email discussion list:
I understand that MS has taken a number of calls regarding IE browser crashes post MS06-042 install.
URLMON.DLL seems to be creating an unstable state if IE Advanced browser settings are set to:
Advanced tab
HTTP 1.1 settings
Use Http 1.1
is checked
If a site if visited that has compressed content, the IE browser session will crash.
I understand that MS may release a Hotfix for MS06-042 by the end of this week.