Usually Avira AntiVir (best one for free, IMO), or Ad-Aware (meh... mediocre), or COMODO (best firewall I've ever used), or Spybot (wonderful program, keeps an eye on your registry too) will catch any unwanted software and deal with it. I'm about to install an anti-rootkit program also.
I have a worm currently, can't remember its name, and I haven't been able to find it. But it hasn't been able to do any harm either because my security software stops it.
I once had to find a hidden folder that a trojan was downloadng heaps of spammy crap into and clogging up my hard drive. Took a while but I managed to track it down manually and kill it. This was before I had any decent security though.
MajorGeeks.com has some good trusted software.