Microsoft Security Essentials is good at detecting malicious threats. Not great, but good. Upon actual testing and trying to download a questionable file, Microsoft Security Essentials immediately recognized the file as a virus, during download. After the download was complete, Security Essentials promptly displayed a pop up, stating that the file was recognized as a virus and could potentially harm the computer. From there, it gives you options to whether or not you want to delete the file.
Security Essentials is not great because it doesn't catch everything. For example, Super Anti Spyware caught several cookies that Microsoft Security Essentials failed to recognize. Cookies are not necessarily malicious software. But, Security Essentials does claim to be a spyware/adware remover as well, in which it should have picked them up.