What a shocker - I picked up a bit of malware this weekend while surfing - I didn't realise that an ActiveX control could install a BHO (browser helper object - just like the Google Toolbar, of which I am a huge fan). The symptoms were never being able to download .exe's from Microsoft or any anti-virus site, bizzare re-directs and pages just not being displayed correctly. Full virus scans, AdAware and CWShredder found nothing - but BHO Demon came to my rescue - it lists all installed BHO's and allows you to disable them individually - the one it found on my machine was entitled MSHelper.DLL

CWShredder gets rid of ActiveX controls and returns your browser to a good state.
Home Search Assistant is a similair thing that seems to be more resistant than CWS.
AdAware catches Trojans etc and is the best around.
BHODemon gets rid of malicious Browser Helper Objects.
MVPS updates HOSTS file exploits the Windows HOSTS file to re-direct known advert sites to your local socket - you don't have to get the content of the most popular add-hosting services. Works well and I've noticed a huge difference (and you save bandwidth!)

The good thing about these solutions is that they are open source/free for private use and they don't insist on running all the time and sucking your cycles.

Aside from these I also think Norton Antivirus is still the best - but configure to avoid all that active and continuous nonsense.