Microsoft Security Essentials will only work if you've got a licensed version of Windows. If your PC is running a copied version of Windows you won't be able to install Microsoft Security Essentials. (Even if you've got a genuine Windows operating system, Microsoft Security Essential occasionally fails to recognise it as such).
For decent security you need three main components:
1. A decent firewall:
Windows XP includes a built-in firewall but it's widely criticised. The free versions of Zone Alarm or Comodo are better.
2. Anti-virus protection:
The free version of AVG is the most popular product but Avast! is also frequently recommended.
3. An anti-malware program:
SpyBot Search and Destroy is popular, as is AdAware. (They're both available in free versions). However, for dealing with anything really nasty, the free version of Mawarebyte;s Anti-Malware is often rated as the best product available.
Chris