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Not enough can be said about the importance of installing, updating, and running antivirus software. There are many good free ones. When a piece of malware is identified, ideally you can remove it. Sometimes your only option is to quarantine the file.
Most computers you buy come with a trial version of some antivirus software onboard, but you can choose to install the version you prefer. Antivirus software can be purchased as a standalone security solution, but it’s more common to purchase software security suites, which include antivirus, antispyware, firewall, antispam, and so forth.
Note
You can find a review of the most common security suites at http://internet-security-suite-review.toptenreviews.com/.
After installation, you should run a full scan of your computer right away. Amazingly, some computers come from the factory already infected! You should also update the software and malware definitions to their latest versions right away. Then set the software to scan once daily or once every few days and tell it to check for updates daily. Normally, you set these tasks to happen in the middle of the night, when the computer is not in use.