Full-scale virus protection is a must. But if you just need to quickly check a file for viruses or malware, you can.
To invoke your default antivirus software and check a file, double-click the file. From the Context menu, select Scan with .... Microsoft Security Essentials in my example. The name of your antivirus utility will show up there.
Most antivirus programs work this way. Remember, an individual file virus check is just a right click away!