Not on my PC but the Sony PlayStation 3 has some Trend Micro protection built in for the web features.
By the way here's the link to the Trend Micro Web Protection Add On homepage if anyone is interested:
http://free.antivirus.com/web-protection-add-on/I'm not going to try it myself though as the hard disk requirements are "
At least 250MB free disk space."

Avast has web protection built in.