Even the “best” versions of security products will not be able to protect against the latest threats if the virus signature database is obsolete. So as a general and very important rule always keep their auto-update feature on. To check if your security product is working properly, there are
EICAR test file. The European Expert Group for IT-Security (EICAR) provides a simple test to check if your anti-virus or security product is working properly.
Hosts file checking. Some methods of attack use tampered hosts file to redirect your browser to malicious URLs. To learn more about the hosts file and how it should look refer to https://en.wikipedia.org/wiki/Hosts_(file). If you suspect the hosts file has been tampered with, you can edit it using a plain text editor such as Notepad (same you use for opening and viewing it). A specifically built hosts file can also be used to block connections to unwanted or potentially dangerous locations, such as the one provided by http://winhelp2002.mvps.org/hosts.htm.
AMTSO (Anti-Malware Testing Standards Organization) also provides resources regarding the testing of some functionalities of security product: http://www.amtso.org/check-desktop
AV-Comparatives and other independently ran tests and reviews. AV-Comparatives regularly performs comprehensive and innovative independent testings of anti-virus software and releases reviews helping users assess the capabilities of the different anti-virus software versions on the market and choose the best solution for their needs. Independent testing means that no anti-virus vendor is involved whatsoever in the testing procedures, which are developed by a neutral, independent team of IT-security specialists from the AV-Comparatives organization. A list of various independent testing labs can be found here: http://www.av-comparatives.org/list-of-av-testing-labs/