Microsoft's Windows Malicious Software Removal Tool (MSRT) is a free program that removes a whole host of the most popular malicious malware software. It's a stealth program, when things are functioning normally you don't see it. It is updated silently as part of Windows Update or Microsoft Update. It runs in what the company refers to as "quiet mode", which means it doesn't tell you anything - at least as long as it doesn't find any malware to remove. This mode of operation is fine for many users, but you can get much more out of the program., KB890830.
You can run MSRT manually at any time. In Windows XP, use Start -> Run -> mrt.exe. You can even get away with just "mrt" in the Run box. In Vista, type "mrt" into the search box (yes, it's "mrt" not "msrt"). It seems to do a lot of processing before displaying the initial window, expect a delay of 5 to 10 seconds.