You know, Microsoft would love to put antivirus right into the OS. However, there is something that prevents them from doing so. It's called "antitrust." They got kicked in the nuts by Janet Reno and the U.S. government, who ruled that they had to break out many of the parts of their OS to operate as separate downloads, in order to avoid stifling competition. Now that precedent has been established, they have to be very careful about what they put in the OS in order to avoid more antitrust suits. If they built in an antivirus program, they'd get sued by Symantec, and Symantec would probably win.

Back when Vista was released, this was actually an issue. Symantec wanted Microsoft to open up the Windows security protocols so that instead of just using Windows Security Centre, Symantec could install its own security centre. Microsoft argued that this would render the OS less secure, since the release of code combined with the lack of oversight for third-party software might result in exploitable third-party programs, but they eventually capitulated.