if I have to get extra tools against every danger then this is crazy
No, only a little crazy.
As YoKenny said, it's part of what's called a layered protection. The serious security folk will cover the different vulnerabilities in Windows with simple, light, and effective applications specific to their use.
So, fo example, you use a firewall to prevent unsolicited inbound "probes". An antivirus to scan stuff that downloads. Maybe a hosts file to prevent known bad URLs from connecting. Something to check your software is up to date. And, in the case mentioned, something else to monitor autoruns. (It's one of several autorun monitors/checkers.)
And tools over tools doesnt end good in most of the cases..
Not my experience at all.
Of course, you have to choose the right tools.