Yuval Ben-Itzhak, chief technology officer at Finjan, said the malware that created the botnet used a variety of Internet Explorer, Firefox and PDF vulnerabilities to spread. He added that only four out of 39 anti-virus scanners detected the malware.
Just had a look to see if Kaspersky was one of the 4. Although it wasn�t, the version they had used for the test was quite an old one (7.0.0.125 which is not even the last build of the old software) the latest build is 8.0.0.506 so I don�t know how much faith to put in the �only 4 out of 39� claim.
I think you're right to question their methodology. I've read reports of the virus scanner vendors "bigging up" their claims of virus damage by testing against months old unpatched operating systems.
Microsoft made a big mistake by making SP3 liable to cause problems on some installations, which led to a lot of people not installing it. I suspect that this may have been caused by interaction with some security programs during installation. I'm firmly convinced that XP with all the Service Packs and patches applied is every bit as secure (and a lot more usable) than Vista.