In my experience, Avira stopped a couple of things; MSE nothing yet - but I think I've only had one attack since I started using it (probably a couple of years ago now).
I conducted a fun (and very telling experiment) with MSE a couple months ago. I took an external hard drive and filled it with all sorts of 'sketchy' stuff...lots of viruses, trojans, malware, pupware, cracks and keygens.
MSE detected every single crack and keygen on the drive. Every other file MSE triumphantly declared as being clean. This should tell you what Microsoft's focus is when it comes to their 'security' software.