Well, about those security software options, you can use SpywareBlaster, SpyBot and Spyware Terminator combined to achieve maximum protection about ActiveX threats on IE, but ONLY in IE. With Opera and Firefox you must rely on realtime scanners, or use another of the options offered in form of extensions or plugins. But then again, they're more resistant to those attacks (but not watertight, of course).
About realtime scanners, my choice would be Windows Defender, as long as you opt out of SpyNet subscription. There's nothing wrong about it, except for its EULA, which it's cryptic and doesn't make feel good about it (particularly, the section talking about the submission of personal information
by accident). Spyware Terminator seems to be better when it comes to catch bad guys, but some things about it still make me uneasy to recommend it. And of course, practice safe hex
Finally, if you want to pay, my choice would be CounterSpy, AVG Anti-Spyware or a-squared, before Ad-Aware. Ad-Aware is still good when it comes to some things, but the competitors have surpassed him both in scope of the malware, and in power. As a free scanner, it's still good for a second opinion. Ad-Watch could be replaced with either some proxy like The Proxomitron or Privoxy (heavy things when it comes to bandwidth usage, slowing down browsing) or use something like Adblock Plus in Firefox or Opera's Content Blocker. Might be something similar for IE, but I don't use it too much these days, except for Windows Update.
EDIT: That post on Shitware made me laugh
