Well I've just had an unpleasant little adventure with malware, despite all the security gizmos. This little nasty first announced itself by AVG kindly alerting me to the "Zolob trojan.downloader",(my wife later commented: Gross. sounds like something you'd hoick up.), which I reacted to by instructing it to "heal" it (since it doesn't default to delete). The PC then went through increasing strata of craziness. A new "antispyware" program installed itself, (Spyware quake),placed a (then) immovable icon in the system tray, and after I turned the entire arsenal of scanners loose on it, one at a time, and again in safe mode, remained un-fixed. So in desperation I turned the modem back on and asked Mr G. for help. There were several likely answers, the one I utilised was at MajorGeek forums, where I downloaded a DOS repair kit for this one infestation, and followed a time consuming proceedure involving three restarts, renaming a .dll, running the tool, rebooting to normal. It worked.
Interestingly, AVG detected but couldn't kill it. A2 detected a corrupt reg. entry and a tracking cookie not of any site I'd visited. Ms (Giant) found something - can't remember what - (but related) and killed it. AdAware didn't find a thing. Spybot found 3, a "vcodec", "smit" something, and "antim" something, and needed to run on reboot to kill them. And still it grew back. And all the time, Winpatrol continued to warn (and prevent) changes to homepage,startup entries, sheduled tasks, and IMO prevented a much worse infestation. (I saw the Hijack this logs of some affected users, mine was a tenth the size!)
Apparently this wee beast is only a week or 3 old. I'm real grateful that someone has developed a proceedure and application to zap it.