Well, the VM worked last night well enough to actually try it out.
I stuck "find warez and game cheats" in MSN search and went to the site that
looked most likely. Sure enough, it immediately and insistently asked me to
accept an ActiveX control. I didn't do that--figured that'd be being too
cooperative, but I did install the app they wanted me to which claimed to be
a peer-to-peer app of some sort (the site was in German, which I understand
not at all, so many of the prompts were incomprehensible to me!) I checked
out the downloaded installer for the p2p app via Virustotal, and three
vendors ID'ed it as a porn dialler. Sure enough, it (on my VM with no modem
running on a laptop with no phone wire plugged in) appeared to be all ready
to dial some no-doubt expensive numbers.
Microsoft Antispyware didn't make a peep, either during the install or in a
scan after the install.
I attempted a suspected spyware report, but it wouldn't work from the VM. I
played with the proxy settings under IE, and if I set IE to say there was a
proxy, but left the settings blank, it at least attempted to send, but
appeared to hang forever. Gave up.
So--first attempt at testing with a VM was interesting, but frustrating.
Found an app which should be detected, but no way to send the results in.