If you are on windows XP or Vista open the Security Center (it is in the Control Center).
This lists all the security products you have installed.
Click the little arrows to expand each area (firewall, anti virus etc) and it tells you what (if any) security software is running.
At the bottom there is an area "Manage security settings" which also gives more information.
Here is a picture of the security centre showing how it gives you more information
http://img205.imageshack.us/img205/6102/omgmm1 .jpg