No protection software can stop everything that is out there. It's prudent to be careful where one is surfing, what one is downloading etc.
It's also prudent to keep some extra anti-spyware tools onboard and updated, just in case.
See:
http://community.mcafee.com/showthread.php?t=136913Also see:
http://community.mcafee.com/showthread.php?t=227819Lastly it's vital that you keep your operating system totally up to date with both critical and non-critical updates, likewise any installed software.
Moved to Virus Discussions as a more apt area.