Select Software Update under the Apple Menu. If no updates are presented, then you are OK.
Helpful Links Regarding Malware Protection
An excellent link to read is Tom Reed's Mac Malware Guide.
Also, visit The XLab FAQs and read Detecting and avoiding malware and spyware.
If you require anti-virus protection I recommend using ClamXav.
If no new software updates are indicated, do I still need to download vThis release updates the Apple-provided system Java SE 6 to version 1.6.0_41
No. It's only for those Lion / Mountain Lion users that have previously installed or migrated Java SE 6 to their computer. If you never installed it then Software Update won't tell you about it and should you download the update it won't allow you to install it.
Don't install Java unless you are told that you need it to do something you must do. At that point you will be installing Java SE 7.