Your immune system is composed of two parts: innate and adaptive.
Innate is non-specific. Your body producing a fever in hopes to kill off anything "non-self" before it does too much damage to yourself. Your skin, acting as a barrier for pathogens. Your stomach acid, preventing a lot of acid-labile organisms from colonizing the GI tract.
The adaptive is the part that "remembers". White blood cells circulate in your blood until chemical signals clue it in on the location of potential pathogens, to which your vessels expand to allow them to squeeze inbetween into the extraceullar tissue space.
When encountered with "antigens" (surface markers), it stimulates an immune response to that specific antigen and either producing cell-mediated toxicity with T cells or production of antibodies with B cells. This takes a few days after catching an infection to have enough time pass to produce enough antibodies.
Some B cells become "memory B cells" after the infection that continue in circulation so as to respond to future strains of the same thing much more rapidly than a novel encounter. That's what people mean when they say they are "immunized." This can occur from a natural infection, but a vaccine is nothing more than the non-virulent part of the disease (meaning it's got the part that causes disease removed from it), but it still has the surface antigen so you create immunity.
The two links I posted describe the behavior of some viruses (particularly influenza strains) that change their surface antigens drastically enough such that even if you caught the flu last year, this year's strain is going to be different enough such that your body doesn't "remember" it.
The point is that I don't get the flu. If I have ever actually "caught" it, it has been obliterated by the innate side without so much as a low grade fever. I did get that swine flu thing almost 10 years ago, that was also obliterated. Put up enough of a fight to make me miss a day of work, but that's it. A flu shot to my innate immune system would be like offering nerf guns to super badass elite spec ops soldiers on top of all the weapons they already have. Any flu would have to be a predator strain for me to get significantly sick and even then, my immune system would go Arnold on it and I would be back to normal in at most, almost a week. ---
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