"Safari's anti-phishing database is downloaded while the user charges their phone in order to protect battery life and ensure there aren't any additional data fees," Apple spokesman, Bill Evans, told The Loop. "After updating to iPhone OS 3.1 the user should launch Safari, connect to a Wi-Fi network and charge their iPhone with the screen off. For most users this process should happen automatically when they charge their phone."What this apparently does is allows Safari to completely download the anti-phishing database, which is necessary before the feature will work. It also appears that you'll need to update the database on occasion in the same way -- charge your iPhone with Safari up and the screen off.
As always, TUAW urges you to practice safe computing, so enabling anti-phishing in this odd Apple-approved manner is highly recommended.
[Thanks to LoopInsight.com for digging into this]