My brother once got his computer infected with something that pretended to be an anti-virus system that frequently warned him of multiple infections. The solution: Buy the "full version" of the thing to remove the "infected files". Turned out, that system wasn't anything he'd downloaded voluntarily - in fact, it was a virus-like (sorry, I'm not too brushed up on the exact terminology here) program that masqueraded as legitimate product in order to syphon money from unsuspecting tech-illitetates without resorting to faffing about with stealing passwords or credit card systems.
Pretty clever, but I got that crap cleaned out. That was definitely a scam.
Personally, I use Mac OS X. I've seen a couple of anti-virus "solutions" on my platform of choice, but they were all bloated crap that ultimately turned out to be useless. I've been on my fair share of shady websites and never have I contracted anything as serious as the figurative sniffles.
In my opinion, those things are scams too. I rarely go online when I boot into Windows, so I'm fine on that side with no protection.
In case I get social-engineered into letting some application contact a shady server or two, well, I've got something better than some bloated anti-virus junk with costly monthly updates or whatever. It's a handy little app that intercepts all outgoing traffic from my computer and asks me explicitly if I want to allow it or not.
I love it. Not sure if there's a solution like that on the Windows side, though there probably is, knowing the slew of stuff available there.
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Bottom line: From my experience, and what I've heard from the people I've talked to on the issue, I think most anti-virus programs are either scams, or so shoddy that they won't save your ass in most cases. The anti-virus business model is such an easy one to employ in order to prey upon those that don't know what's what in computer-land.
Edit to avoid double posting:
Suicideking said:
While a virus for Mac is rare, doesn't mean it is non-existent: http://about-threats.trendmicro.com/ArchiveMalware.aspx?language=us&name=OSX_JAHLAV.K
Seems like that thing hides in bogus installation disk images for Flash. Sneaky.
Moral here is: All platforms are vulnerable to malicious software, when you hand the software your password on a silver platter. I hope that not too many people fell for this. Downloading official plugins from random websites is just asking for trouble.