Hey mate, that is like saying you walk down a dark alley in a shady part of town, but have never been mugged so it is fine. Maybe not today, but there is a higher chance that you get beat bad, more than if you drove home on the freeway. Perfect analogy? nah, but I'm working on it.
Although it can get annoying clicking through the UAC prompts, but that is a good part of it and something that keeps you safe even more so than without.
Basically, you have a balance between ease of use and security. The harder you "lock down" your computer, the less things are easy and you get more of a performance drop. There is noscript blocking and all sorts of stuff that just makes browsing hell. Some people give up and just do without security software o.0