If you use the Malicious tool from Windows Update, then it will download and run in the background. If it finds anything, it will notify you.
You can also download the manual Malicious tool for running separate and apart. Read the info at the link below:
http://www.microsoft.com/security/malwareremove/default.mspx
And for the manual download, here's the link:
http://www.microsoft.com/downloads/details.aspx?FamilyId=AD724AE0-E72D-4F54-9AB3-75B8EB148356&displaylang=en
Hope this helps.
Grif
I downloaded and installed(I don't know where it installs)the above during september update.
1. where does the tool reside on my computer when it's been downloaded and installed?
2. I must need to run the tool right? If I want to check for malicious software how do I use the installed tool? Or does it automatically check for me and I don't have to do anything? Thanks, Tom.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic