This filter is part of your MS OS as well as IE and Edge. It’s like Google’s SafeBrowsing BUT it has a wider scope, and it works system wide. So, MS has added protection against “drive-by” attacks to the service.

“Drive-by attacks originate often on trusted websites where they are executed through third-party scripts such as advertisement or hacks. If it often the case that they don't require user interaction for execution and that is it enough for the user to visit a website to be exposed to the attack. Another improvement that goes along with the new security feature is that SmartScreen may now show warnings for contents in frames on sites only. Previously, SmartScreen would display full page warnings on malicious pages even if the attack was carried out using framed content.” – gHacks

How does it work? Because “time to exploit” has radically decreased (as has catch up time for AV devs.

“Unlike existing SmartScreen protection from socially engineered attacks, drive-by attacks need to be detected and prevented before any web content is parsed and rendered. To avoid impacting browsing performance, SmartScreen helps protect against drive-by attacks by using a small cache file created by the SmartScreen service. This cache file is periodically updated by your browser to help keep you protected and to ensure that calls to the SmartScreen service are only made if we believe there’s a high probability of malicious content on a page.” – MS

The warning screens look like this:

Source:

http://www.ghacks.net/2015/12/19/microsoft-smartscreen-gets-drive-by-attack-protection/