Im sure with the added security of Sp2 there will still be exploits since all the same hackers will still find ways around it.
If you want to be secure just dont use the default programs in the OS. For instance IE is the most popular browser therefore all the hackers will try to find every bit of weakness to it since the majority of people use IE. If you switch to Mozilla, Firefox, Opera or the sort then you have no worries of IE exploits and the such.
Same goes with other default programs on the OS like WMP and Outlook Express.
Ever since I switched to Firefox I have virtually gotten perfect results using Ad-Aware and Spybot. Keep that in mind as well.