The only way to protect ordinary users from malware is to block the sites that provide the downloads. AVG8 does this. Spyware Blaster does this and also blocks ad servers.
These days the focus of malware is to trick you into authorizing the download and installation. The latest one to cause trouble disguises itself as a message from your anti-virus program. The real solution is simply not to go to sites that carry this stuff. If that means having a nanny program, then so be it.
I religiously install Spybot and then immunize. I love it when I get an email wanting to know why a user can't download music anymore from *.ru.
Thanks for the info.