Never infected on any machine that I am in control over, not once, using nothing but IE since 4.0 and virtually never any active AV running (though periodic check-ups and such to verify machine state were done throughout the years). I would occasionally install something like norton but then when the AV enevitably slows your machine to a crawl worse than any virus I quickly got rid of it. (Whitness McAffe's latest gaff. They "infected" more PCs an any single virus ever)
Security is MOSTLY about the mentality of the user. A secure mind is a secure machine.
Course I am also a software engineer so all this fancy computer mumbo jumbo is what I live, eat and breath every day. I wouldn't expect my parents, say, so ever reach my level of security consciousness...
After all that though, I have installed MSE on my systems and so far it has not make me want to kill it.