An antivirus would only catch viruses, most won't do anything about spyware, keyloggers and other malware. Its good for scanning downloaded programs and files. Anti-spyware like Spybot S&D and Webroot Spysweeper deals with stuff comming from your browser. Your browser is one of the prime ways of infecting your PC.
Along with Spysweeper, I also use Mcafee's Site Advisor. That program puts ratings beside each google link and reports if the site is serving malware. Whats that saying ? An ounce of prevention is better than ....