See, I obviously know better than to go to any suspicious sites, run suspicious scripts/programs, etc., but I remember for example a few years back when I reformatted my computer and was reinstalling everything; I opened the browser to download all my free software again (from legit sites of course), only to find out that a virus had somehow wormed its way onto my computer just through that, and it was causing it to try to shut down on its own (this timer kept popping up), and I had to download a Microsoft security update to get rid of it.
Granted, this was ages ago (pre-MSE, maybe even pre-XP), but it was enough to make me adopt a better safe than sorry mentality! (and like I said, Kaspersky's impact on my 4 year old machine's performance is acceptable)