If you don't have all the patches from Microsoft nothing can stop these worms to enter your system. 
Don't expect everything from an antivirus...  You have to work on protecting your system too...
Look for all the critical updates at:
windowsupdate.microsoft.com
Also please tell us where these files are located - they might not be active, hidden in some old archives or messages inside your inbox.
Please run a full scan with Bullguard and post the results from the file: vscan.log here.
Then we will help you removing the infected files if it is the case. | 
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