Why aren't my anti-malware programs working?

I have Windows 7 Home Premium, and I run Spybot, SUPERAntiSpyware, Avast!, MalwareBytes, and Windows Defender. I also use Secunia PSI and HouseCall on occasion. Avast! runs constantly, and I try to scan at least once a month. Just last night, I got a trojan (Rogue:Win32/Winwebsec, I later found out). I figure it must be from something I downloaded, but I have no idea what. My problem was that after I booted up in safe mode, I scanned everything I had. Avast came out clean, Spybot and SuperAntiSpyware found a whole load of tracking cookies, and Malwarebytes found three trojans and one PUP. I thought that would have solved the problem, but after booting up normally, Windows Security Center and Windows Defender found the aforementioned trojan which was actually causing the problem. So, I guess I'm wondering, why didn't my other programs find it first?