HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\PhishingFilter

Disable Phishing Filter
Enabled REG_DWORD 0x0
Turn off Automatic Website Checking
Enabled REG_DWORD 0x1
Turn On Automatic Website Checking
Enabled REG_DWORD 0x2
ShownServiceDownBalloon REG_DWORD 0x1 <-Default

An example of the service down balloon can be seen at the following link.

LINK: Phishing Service Down Balloon - IE Blog

UI Control of the Phishing filter is done via Tools->Phishing Filter
The following options are exposed on the Phising Filter Menu
Check Website
Turn Off Automatic Website Checking
Turn On Automatic Website Checking
Report This Website
Phishing Filter Settings <- Brings up the Advanced tab of INETCPL.

Scroll down to the Security section on the Advanced tab
Phishing Filter

Disable Phishing Filter

Turn off Automatic Website Checking

Turn On Automatic Website Checking

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Also, each Security Zone has the option to Enable or Disable the Phishing Filter for that Zone.

By default Internet, Trusted, and Restricted have Phishing Enabled.

My Computer and Local Intranet have have Phishing Disabled by Default.

Select the ZONE you are interested in.

Scroll down to the Miscellaneous section and locate Use Phishing Filter.

How to disable the Phishing filter for IE7 using regedit:

HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\Zones\{0 thru 4}

Name: 2301

Type: REG_DWORD

Value: 0 <- Enabled

Value: 3 <- Disabled

If you want one could customize the Trusted Zone and turn off Phishing and put all sites that are normally in the Internet Zone into the Trusted Zone if you truly TRUST the site with respect to Phishing.

LINK: Anti-Phishing Accuracy Study - IE Blog

LINK: Recognize Phishing scams and fraudulent e-mails - Microsoft.com

LINK: Anti-Phishing Technologies- Microsoft.com

LINK: Anti-Phishing White Paper- Microsoft.com

LINK: Principles behind IE7’s Phishing Filter- IE Blog