Whenever I install Windows on a new PC (which in my daily work happens fair more frequently than I care to admit), there's one* setting that I always tweak before doing anything else:

Internet Options, Advanced tab, "Use inline AutoComplete"

What this does is enables autocomplete of URLs (and other commands) in the address bar, instead of just as a drop-down.

Here is an example. Let's say I visit both the IEblog (http://blogs.msdn.com/ie) and the RSS team blog (http://blogs.msdn.com/rssteam) regularly.

The next time I go to the address bar, I type "blo".  IE shows me this:

 Then I hit the right arrow (essentially to accept the text it's given me), and I type "r":

Press enter, and I'm at my favorite blog! 

Bonus feature: this works in every address bar: explorer, the run dialog, and system-supplied open/save dialogs, and any app that uses the system edit control (and enables URL autocomplete).
Double bonus: this works in IE6 as well (but upgrade to IE7 now!).

Downside, you probably should be a touch typist before turning this on. If you're not paying attention to the screen while you type, you may inadvertently navigate to something you didn't want to. Windows developer guru and part-time Windows historian has blogged about this, so I dont have to (note: you should read the comments to see the correction to how he describes the feature -- it doesn't change the basic point, however).

* Truth in advertising: there were two settings I always changed. The second was to turn off "reuse windows for launching shortcuts" -- a a highly annoying feature of IE6 that picked one of my open windows and changed the page being viewed whenever I clicked on a link in Outlook or elsewhere. It was designed to help users keep the number of windows being opened under control. But IE7's tabs make that unncessary, because now the default is to open a new tab in the same window. Both problems solved!