Some people still think they can only infect their system or get malware through EXE.
Well, that's mostly true on Windows, since exe is the only extension used for executable binaries (though technically a batch script could cause an infection, I don't think they're ever used for the purpose; binaries are far easier to get people to run), and I don't think those dangerous "macros" in MS Word are typically used/trusted anymore, are they? If a file is really just data that is never transformed into instructions for execution, it simply is not possible to use it to cause an infection, short of exploiting huge software bugs. The problem with Windows, though, is that extensions are hidden by default, so people can get away with distributing files with names like "cat.jpg.exe" and making people think it's an image file. It also doesn't help that Windows executables can have icons embedded into them.
That's why good anti-virus / malware software have real time file *AND* web monitoring to intercept any activity that would compromise your system.
I use AntiVir Premium (AVIRA) combined with MalwareBytes PRO, both are monitoring real time.
An anti-virus ALONE is not enough as its optimised mostly for viruses, whilst the other more for malware/spyware/adware/key loggers, and other crap.