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Viper007, what is your security setup? what version of Windows are you using?
If using Windows Vista, 7 or 8 have UAC on default settings and never approve anything on the notifications unless you know for sure it is safe. Never download files from suspicious sources, keep your software and Windows updated at all times and you will probably never see any zero-day malware.
The best protection against zero-day malware is your own actions, no security software can match that.
Examples of good sources to download files are Softpedia, MajorGeeks, FileHippo, SnapFiles, BetaNews Fileform and DownloadCrew.
Bad examples are from email links, IM links, social websites like Facebook, ads and any other sources that you don't know for sure is safe.
Zero-day malware doesn't magically appear on your system, you must manually download an infected file, manually run it, ignore UAC and Windows digital certificate warning then it will be allowed to infect your system. Once you learn how to safely download files then you will no longer need advanced security products that block games, good programs and have to manually be tweak all the time.
Enjoy!!