Apparently Microsoft has discovered that there are vulnerabilities in the Windows Sidebar system, which Gadgets are based on. Vulnerabilities potentially allowing a maliciously crafted gadget to commandeer your computer. They've released an automated Fix-It, but there's also a tutorial for the more advanced user who wants to do it themselves.
http://technet.microsoft.com/en-us/security/dn261332
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Windows Sidebar Vulnerability (Windows Vista and 7)
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