This one deals with exploits. It show just show easily you can get become infected if you do not install your Windows updates or updates to Internet explorer. It doesn't cover 3rd party vulnerabilities but the outcome would be the same.
It is a 3 part video but the 1st part is by far the most interesting. Enjoy.
Part 1 (how easy it is to infect with no updates)
http://www.youtube.com/watch?v=TJpZlzBkiro
Part 2 (What happens when you have all your updates)
http://www.youtube.com/watch?v=0zcmD-RhQRc
Part 3 (How well do AV's detect Exploits before they infect you)
http://www.youtube.com/watch?v=duJksZnTK5o
For those of you who want to see the other 2 videos I made for my customers they can be found below
#1 - Ways To Infect Your Computer - Fake Anti-viruses
http://www.youtube.com/watch?v=JoRc7iGc4Io
#2 - Ways To Infect Your Computer - Running Executable files that appear out of nowhere
http://www.youtube.com/watch?v=nHR_6zzbh_0