Unfortunately, they would just search that as well. And if the machine is already infested, it's a conduit search at that.
The problem is Windows. IE is too easy to hack and break. Drive-by exploits are routine with IE and Windows-Firefox. There is little security and process limitation in Windows to prevent an active expoit. Worse yet, I cant even delete an "open file" without special tools. In any other OS, that's not a problem. File gets removed. Windows acts like a toddler.
BTW, Xubuntu works well here for friends and family whom I support. It just works, they're nigh invulnerable to exploits and problems are a kill and rm away.