The research* was undertaken by NSS Labs and included tests on Apple Safari 4, Google Chrome, Mozilla Firefox 3, Opera 10 (beta edition) and Microsoft Internet Explorer 8.
Since IE 8 started being beta tested earlier this year, Microsoft has been keen to promote its security features, including its memory sandboxing technique. The report notes that the browser software is good at blocking phishing and malware attacks.
NSS Labs' study concluded that "Internet Explorer 8 and Firefox 3 were the most consistent in the high level of protection they offered," whilst Apple Safari 4 performed the poorest in every test.
Whilst IE 8 is rated highly by NSS Labs, there is no mention that Mozilla Firefox has less than 10% of IE 8's memory and resource footprint and is therefore much faster to execute.
Details of the report can be found here on the NSS labs website.
*It is worth noting that none of the other mainstream web browser companies agreed to take part in this Microsoft sponsored study.