Malicious Code on the Web

Man, there are some sick puppies out there in www-land. So there I was, innocently using the "Next Blog" button you see in the upper right hand corner to the Blogger blogs to find a blog with my template that already had a blogroll from which I could "borrow" the coding, when I got slammed by the nastiest little piece of malicious code I've ever had the misfortune to encounter. I hit this one site (can't remember which one) and see the "download" window flash up. I immediately turned off my internet connection, but it was too late; the damned thing screwed up my computer something awful -- it deleted (or hid) about half of the icons on my desktop, hid the "Quick Lauch", turned "My Documents" into a hidden folder, sent my IE Favorites somewhere, and removed the "Accessories" program tab (which made it tough to get to system restore). I'm sure it did some other weird stuff that'll show up over the next couple of days. What pisses me off the most is that my AV and Firewall programs are completely up-to-date; I guess that teaches me to randomly surf to sites where I don't know what I'm getting into. I was able to recover pretty much everything in a couple of hours, but still...