OneCare is telling you to turn on the phishing filter in Internet Explorer. OneCare does not have a phishing filter, it monitors the one in IE. If the phishing filter in IE7 (smartScreen filter in IE8) is off and you cannot turn it on in IE, you may have installed a toolbar or other add-in that is turning it off.
You can contact support for help.
How to reach support (FAQ) - http://social.microsoft.com/Forums/en-US/onecareinstallandactivate/thread/30400b52-7f26-4ba0-bc18-17e305329d90
-steve
Microsoft MVP Windows Live / Windows Live OneCare, Live Mesh, & MS Security Essentials Forums Moderator