If you practice "safe computing," you're unlikely to be infected with anything, with or without antivirus software (although a firewall is still a good idea). If you are careless or uninformed in the way you use your computer, you may still be infected no matter how much antivirus and other software you have installed.
I've only recently installed MSE, and only on a lark, since it seemed pretty non-intrusive and I figured it couldn't hurt. For the several decades prior to that, I had no antivirus software on the machine, and I was never once infected by a virus or any other malware. However, I'm careful about what I do on my machine, and I do make some sacrifices, such as having all Flash and Javascript disabled on my browser unless I specifically authorize them for a given Web page. That kind of prudence is necessary even if you have antivirus software. I also look at the raw message text of e-mail messages that seem suspicious, which most people won't do. And so on.
Most commercial antivirus suites are bloatware, and I see no evidence to indicate that they are any better than MSE. They simply slow the machine down a lot more, and produce a lot more irritating pop-ups, and are much more likely to break other applications. In fact, they can be worse than the malware against which they are supposed to protect.
Windows Firewall, like most firewalls, is essentially bulletproof from the outside. It doesn't help from the inside, but if you have malware calling home from the inside, your security has already been breached. A firewall outside your computer, on a broadband modem/router for example, can be superior to Windows Firewall because nothing on your computer can turn it off. I use both. All incoming traffic except SMTP and HTTP is blocked, and those two protocols are directed to my UNIX server and never see the Windows machine. You can avoid most infections by being prudent, but a firewall is necessary to block traffic that might exploit bugs in your operating systems or applications.