Thanks to Matt Buckley-Golder for pointing out a couple of other changes in the new Internet Explorer 4.01. Matt mentioned that the taskbar auto-hides when you're in full-screen mode, which is actually very nice. There are also some improvements in the new Start menu, Favorites menu, and any other new "scrolling"-type menus: drag and drop actually works now, and they seem to work faster. A Java console is also available from the Advanced tab in Internet Options.
According to the Microsoft press release about IE 4.01, the new accessibility features include full keyboard access to the Active Desktop, HTML Help, and full-screen view (F11 toggles that mode). It also includes a revamped Setup that can properly detect Compaq Presario computers and the two security updates Microsoft has released for IE 4.0.
I'd like to reiterate, however, Microsoft's recommendation: "only those users who need accessibility features or who have experienced installation problems \[should\] download Internet Explorer 4.01. You should, however, download a single security patch that fixes both IE 4.0 security issues.
Both the IE 4.01 update and the patch can be found at the IE page
If you absolutely, positively have to download the 4.01 update, you may have a shorter download at the Component Download page