Anti-virus programs help protect your computer from malicious pieces of software called viruses that come from sources such as the internet. There are a number of free anti-virus programs that you can use. Any one of the following would be a good place to start:
Bitdefender Antivirus Free Edition
Along with these, it's also worth installing Malwarebytes, which is an "anti-malware" program that will work alongside the virus checkers above and provide additional protection.
All anti-virus programs regularly update themselves to cope with new viruses. Their updating is automatic, but you should make sure it's actually happening. Check this regularly to be sure you're protected.
Also, make sure you keep Windows updated by using Windows Update. More details can be found in Windows Help or here: