Windows Malicious Software Removal Tool is normally is installed via Windows Update and runs automatically in a silent mode and only reports if an infection was found.
It is not a replacement for Antivirus software as it only finds active malware and does not prevent new infections.

To run manually: Start > Run > mrt.exe
You can choose Full Mode if you wish (by default runs in Quick Mode)

Creates a log file: C:\Windows\Debug\mrt.log

Windows XP, Vista, 7