Which Version of VSE are you running - If its VSE 8.8 AntiSpware Is bundled however you will need to set -AP- Rules, You should Look at the Different Polices for running files from certain locations. - This does not always work, however for the most part it does and when it does not it only is running in user space / memory as all our users are Standard Users on the computer.
I have ran for 6 Years with McAfee VSE and not had a major infection. I have had a few incidents that have dropped file to a users Application Data or Local Settings Folder. that was not caught by OAS however these are easy to clean as the users have no rights to the workstation.
Here is a Partial List of what we have enabled. - You will need to add exclusions for your environment to these after enabling them. I would go lightly as they can cause issues with applications.
Prevent all programs from running files from the Temp folder
Prevent execution of scripts from the Temp folder
AntiVirus Standard Protection:
Prevent Windows Process spoofing
Prevent hijacking of .EXE and other executable extensions
AntiVirus Maximum Protection:
Prevent svchost executing non-Windows executables
Common Standard Protection:
Prevent installation of Browser Helper Objects and Shell Extensions
Prevent common programs from running files from the Temp folder
Disable HCP URLs in Internet Explorer
Common Maximum Protection:
Prevent creation of new executable files in the Windows folder
Prevent creation of new executable files in the Programs File folder