In order to protect your system from Malware, you need to have real time protection that is constantly watching for problems. These programs will cause additional messages to appear when you intentionally make changes to your system. For example, if you set up a new printer or install new software on your computer, these programs will pop up a message asking if it OK for changes to be made on your system. If you installing software from a reputable source, you should be OK to let it allow the operation to continue. If you are not making changes to your computer, these messages should be an indication that something or someone other than you is attempting to install software or make changes to your system.
The programs that provide real time Malware scanning are:
Windows Defender This is built into Windows Vista, but must be downloaded and installed in Windows XP. You will have to perform a Windows Genuine check before downloading and installing. Once installed it keeps itself updated and performs scans in the background as well as monitoring your system.
Spybot Search & Destroy has a module called tea timer that also runs in the background to monitor your system. It is described in their tutorial.