I've had terrible problems with malware on XP. I used:
-NAT firewall router
-XP firewall
-Adaware/Spybot/...
-Norton anirus
I think most of the problems came from my wife's Chinese webmail services. They would only work with IE, with practically everything enabled. I was already suspicious of course, but how can you tell your wife not to read her email?
The whole system slowed down to a terrible crawl. IE would open all sorts of popups, forced homepage, new toolbars, etc. The malware regenerated annoying programs and files. I tried every malware remover available, and nothing could deal with the problem (did this repeatedly for more than a month). In the end, had to reinstall.
I'm using win98 at the moment. It lacks some usefull features of XP, but it's just not targeted as much. I also find Opera to work quite well for me. It's quite rare that I will have to switch to another browser now. I also convinced my wife to switch to safer email services, but they often don't handle the Chinese encodings properly.