If you use Internet Explorer, you probably wouldn't get the warning until you happened on the page where the infected advertisement was located (assuming you are running a decent antivirus). I didn't get any warnings either, but I'm running a thorough virus scan right now, and a malware scan is...
Good ideas. I would also suggest Avast (www.avast.com) as a free antivirus alternative. I'm a computer tech (too?) and run it on my machines.
Malware is scary, and now that some of the creators of the stuff have figured out how to get past Windows 7 and Vista security, it is even more...