I don't like the versions after SE (2007/2008 etc). The user interface is far from friendly and the heuristics and detection rate aren't all that great either.
I don't use it anymore full stop, on my own machines or the machines I support for clients. I use a combination of Sophos Anti Virus. Spybot Search and Destroy, CCleaner and occasionallySpy Sweeper by Webroot.
In all honesty, if you're careful with what you download and don't use any dodgy software (when I say dodgy I mean unreputable stuff like keygens/cracks etc which usually contain trojans) and you don't install anything which *might* install adware/spyware, such as free screensaver applications etc, then you'll be fine. If you follow this methodology then you'll be fine. Use a web browser like Firefox.
I personally recommend Sophos Anti Virus for an AV solution. Catches a lot of adware/spyware as well, making it an effective all rounder.
In terms of tracking cookies etc, try using CCleaner for removing temporary files and general rubbish you don't need such as tracking cookies etc. It's free and can be found at
CCleaner - Home