The problem is remembering each time you do this. After a while it gets painful to repetitively do the same. Its just easier to install an alternative which comes with a real time scanner.
True, the best way would be to have OS support for automatic quarantining of anything from outside until it has been checked.
Vista sort of has this but it doesn't clear the suspicion, so if you download a simple utility (or even a help file) it will warn you every time you open it - unless it comes inside an installer.
