Because it is the most popular browser, it is the most likely to be searched for bugs.
Aside from that, support from its users isn't as good as with Mozilla and company.
I'm sure the open source browsers have their share of bugs, but it's safe to say that most people who use mozilla are probably smart enough to protect themselves from being the subject of lame exploits anyhow.
If you look at the MS security updates and the bugs that someone found, it is usually very off the wall things that really don't make IE THAT vunerable.
In terms of spyware... why would you design spyware for anything but the roughly 90% of people that use the same browser?