Helping people with computers... one answer at a time.
A 'DSO exploit' is a bug in IE that might possibly allow untrusted software to run. Make sure you're up-to-date and you should be safe.
What's a 'DSO exploit' and how do I get rid of it?
The short answer: it's a bug in Internet Explorer that could under certain circumstances allow untrusted software to run. In other words, it's a vulnerability. The good news is that it's been fixed.
The confusion arises from the fact that at least on popular Spyware detection program reports the problem, but fails to apply its work around, and hence continually reports the problem. Even though it might not be a problem any more. (Update: that program has reportedly been fixed. See below.)
First, let's be clear. The vulnerability in Internet Explorer has been corrected. If you've patched IE and are staying up to date with current patches from Microsoft, you're safe, even if a DSO exploit is reported.
The confusion arises from a bug in Spybot Search and Destroy that continues to report the DSO Exploit problem, anyway. There are ways to force the report to go away, but it's more trouble than it's worth.
The bottom line: If you're fully up-to-date on Internet Explorer patches, you can safely ignore Spybot's report of a DSO Exploit. And update Spybot from time to time as well; they do plan to fix the reporting problem.
UPDATE: Spybot Search and Destroy has reportedly been fixed. My recommendation now is to download the latest version, and make sure you have it update its database of spyware to check prior to your next scan. It's possible that it may report DSO exploit once, but if you elect to fix it, then the report should go away on your next scan. I can confirm that it no longer reports DSO exploit on my system.
And remember, as long as you were up-to-date with Internet Explorer patches, DSO exploit was not an issue for you, regardless of what the scanner said.