Yes, you need to run a manual full scan with your antivirus or antispyware program occasionally.
If you have the bought versions of the programs they are normally monitoring in the background continuously. If you are using the free version the program may or may not normally monitor and run scans. Avast does monitoring all the time with the bought and free versions. Malwarebytes only monitors with the bought (professional) version. Superantispyware only does scans automatically with the professional bought version. McAfee and Norton are only available in the bought versions. There are a number of other antivirus programs out there and I have used a number of them. Almost all of them I have liked but my preferences are Avast, Norton, Malwarebyes and Superantispyware. However, McAfee I am not a fan of as I have seen it miss major malware. Microsoft’s Security Essentials and Defender I have never seen catch anything but as far as I know never known them to miss something.
I would suggest doing a full scan on or two times a month. Run it thru the night so does not impact performance while you are using the machine. Do this on your PC and mobile devices. I run Avast on my Android phone for free. Avast also has the ability to run a boot scan which will be able to catch things that disguise themselves as safe one windows starts. It runs as you boot the machine and before Windows starts. Great fro catching hard items. I would just run this one every other month or if you suspect you are infected. However, be warned it takes hours to run, so I normally start as I go to bed.