That is correct. No anti- virus program protects you from some of the other infections from the Internet. It is a good thing to use programs that protect you from worms, trojans, spyware, browser hijacking, etc along with an anti-virus program.
There are numerous free programs of all or any of the above mentioned. It's almost a necessity to use those along with obtaining the latest Wins security fixes (patches) from Wins Update. If your using WinXp or Win2000 you especially need to go to Wins Updates and have it check your pc for possible downloads.