Not just IE to those unbelievers out there!!!!!!!!! We have clients that only use Chrome and Firefox who gets the same malware problems that we have to fix....

As to AV - antivirus products like Norton, McAfee, Sophos, Kaspersky, etc, are checking for VIRUSES. The stuff you pick up like this is not VIRUSES, but other types of malware. This is why you also use a malware checker over and above a virus checker.
Malware checkers will typically be nailed by proper viruses, as they expect users to also have AV products installed that check for viruses.

And then it is like any other system - these products pick up KNOWN problems. If they are not programmed to check for a specific signature/footprint/action, they won't pick it up - the same as having a flu-vaccine - it will only protect you against the specific virii you were innoculated against.....