Only once. It was quite a few years ago too, back in 2004 I think (I was 14 and inexperienced). I was downloading a video and it wanted a certain codec to play it. So I got the codec, the video played, and then I got all sorts of virus alerts from a fake anitvirus program that installed with the (also fake) codec. As it had only just happened, I got luck and got rid of it by using the System Restore feature. I set it back a few days and I was fine. Now I test out suspicious files in virtual machines first.
I currently have, and have had since long before the incident, a hardware firewall and McAffee VirusScan Enterprise (my dad gets free perpetual licenses from where he works).