Yes, you are right about the disabling of links in certain
messengers. This feature is present in WLM (not too sure for
previous versions).
However, the need of antivirus is another issue. While common sense
is what you need, an antivirus serves as an extra layer of
protection.
Protection programs on computers work the same way as vaccination
does.
The antivirus signatures recognize something, just as your body
immune system recognizes a particular strain of bacteria/virus and
launches an attack against it.
Not all of us are doctors, neither are all of us PC experts. Since
neither of us are good at everything, that's where these extra
products come in to protect us.
