I volunteer as the network admin at my kids Catholic school (nights & weekends). They have 50+ PC's and the battle against this stuff is staggering.
The so-called "drive-by downloads" are what causes a lot of it, but also trojans inside screensavers and wallpaper downloads. I'm about ready to ban those and lock down the desktops.
We have several walls up against it - a proxy server, firewall in a DSL router, web filtering software, Norton AntiVirus Corporate Edition, Ad-aware, NO Outlook Express (web mail only). But it still gets through.