It's about time they added network protection, Avast has it had it for years. 
"The network protection has two parts. Microsoft Security Essentials now integrates with Internet Explorer to better protect against Web-based threats. This allows the program to prevent malicious scripts from running. The current version can detect such scripts when they get written to Internet Explorer's cache, but that may be too late to protect the user."
They aren't clear about whether MSE will protect against web based threats for other browsers besides IE. If it doesn't I consider this feature useless for people who don't use IE. Basically it's script blocking for IE. 
"For users of Windows Vista and Windows 7, the new Security Essentials provides protection against network exploits, by inspecting network traffic and blocking any suspicious connectivity. This feature isn't available for Windows XP, as it depends on the Windows Filtering Platform facility that was introduced with Windows Vista. Windows Filtering Platform allows programs to plug themselves into the networking subsystem and monitor any network traffic in a robust, high performance way. This provides protection above and beyond that offered by the Windows Firewall (which the new version of Security Essentials offers to enable during installation), as it can guard against attacks made on software that's allowed through the firewall."
Not sure what network traffic they're scanning. Are they scanning port 80 http traffic or other ports as well?
MSE needs to add a email scanner as well. People say it does scan email attachments, there's also people who say it's very flakey in this area.