The Internet Storm Center points out that with the default security settings in Internet Explorer (even on Windows XP with Service Pack 2), websites in the Internet security zone can read what's in your Windows clipboard. If you have been copying & pasting sensitive information — oh, for instance, you're working with a spreadsheet of credit card numbers — then websites that you visit while that information is on your clipboard can see it too, if they know where to look.
Here's a test to see if your clipboard is exposed. Internet Explorer has most likely categorized this web page as being in the Internet Zone, unless you have specifically added it to the Trusted Zone. Copy some text, and then click the link below.
If you found out that your clipboard data is indeed exposed, fear not. You can simply change your security settings to prevent it: