Scythe944 offered a pretty good example of a layered security combo.
I would think that if the web browsing was done in Sandboxie it should be safe. Any files saved from sandboxie to the main file structure should be perhaps left there a few days and scanned before running them, in case of zero-day threats. I think you have to be a bit unlucky to score a zero-day (malware so new it hasn't been detected by the AV scanners..yet.) but there are recent examples of folk on this forum who have been infected by such a beast, rogue antimalware, in the cases I'm thinking of.
In terms of "don't surf this or that", it's no longer the case that you have to be on a porn site to get hit..plenty of legitimate sites get hacked and exploits inserted as a surprise gift for the next site visitor, simply by virtue of out of date or vulnerable hosting or web software, or ads not being checked properly etc. So although it may be more likey to contract malware on a porn site, it's not always the case.
The one thing that is almost guaranteed to host malware is downloading cracked (warez) files, keygens etc, usually via p2p or torrents. If you normally have to pay for some software, and can get it for "free", it more often than not comes with a nasty surprise. Caution the kids on this. I read about it all the time. (Plus it's also illegal.)
As for trusting MS, well, I don't know. Don't need to know. Quite happy with Avast. Reports I've read indicate that MSE appears quite promising, but if something is working well for me, I have no need to change without good reason.
I would imagine MS aren't' interested in testing their package with all the good (and not good) 3rd party software around. (MBAM, Sybot, SAS, etc) for compatibility, so saying to uninstall it is probably a blanket statement. Stuff might work with it, but I wouldn't count on support if it all goes wrong.