Yes, MSE is antivirus. You should run only one antivirus program on your computer. MSE is the most popular antivirus program with many folks here at How to Geek. I've been happy with Avast free. In the past, AVG free was popular but the last few years, there have been a lot of complaints about it being a resource hog. If your computer has plenty of RAM, it may or may not be a problem. If your computer has limited rRAM, then it will be a problem.
Programs like AdAware, SAS, MBAM, and Spybot look for different kinds of nasties, mostly spyware. These are little programs or cookies that allow advertisers, etc., track your surfing habits so they can hit you with targeted advertising, spam, etc or snoop around on your computer for personal info. They are not a substitute for antivirus programs. However, one can run multiple antispyware programs (AdAware is one exception since often clashes with other antispyware programs) and it is adviseable to do so since each usually has slightly different spyware definitions; this increases the likelyhood that you will catch more nasties on your computer.
I disagree with whs' comment that Spybot doesn't do much. It has has a full time program called Teatimer that helps to block spyware from getting onto one's computer. Because of it, I get very few hits when I run my other antispyware programs.
Also, if you are still running XP, you need a better firewall than the one that comes with XP (I'm not familiar with Vista and Win7 but I heard their firewalls are much better). I use ZoneAlarm's free firewall on my computer and it does a lot to stop intrusions. It also stops programs from making unwanted phone calls home (this is especially beneficial if spyware does manage to get on your computer because it will stop it from transmitting any info back to its source). It's a pain in the neck when you first start to use it because you will get frequent popups asking if you want a program to transmit data from your computer. However, you can set it to always allow it to, to never allow it to, or to ask each time so, eventually, the popups become rare. Make sure you download only the free firewall: you don't need the paid version and the security suite is junk.
Another useful program is Secunia PSI. This is a free program that will notify you when programs you have need security updates and will assist you in making the required downloads. Many times, programs have programming flaws that will allow malware to get into your computer. The programmers of these programs often will update the programs to correct the flaws. Secunia PSI will alert you when you need to download these updates.
I run Avast free antivirus and MBAM (Malwarebytes AntiMalware), Spybot, Glary Utilities (does only a little to get rid of nasties but does help with keeping your computer in tune), and SAS (Super AntiSpyware) on my computer and have had no trouble from nasties getting on my computer.I run weekly scans of each (one program each weekday night). Secunia PSI will automatically run a biweekly scan and let you know if it finds anything out of date.