I must disagree with that.
I write training material and was trying to deliberately infect a machine last week (virtual machine I could revert to original state when I finished). I had so much trouble with MSE not letting an infected file open I had to completely disable it to let the virus download, let alone install.
Admittly this was a virus, rather than a trojan, but while frustrating it showed MSE was providing security against that particular infection.
It highlights the need for keeping the definition database updated...

