how do i check for malware & run the anti-virus program

Don't. It's a waste of time and money on a Mac. All it will accomplish is your Mac will take a hit on performance.

Also, Os X has many safeguards against malware. You'd need to ignore the all warnings and practically invite it in.

See my Mac Malware Guide.

(Note that my pages contain links to other pages that promote my services, and this should not be taken as an endorsement of my services by Apple.)