Secondly, if you have installed Kaspersky then it shuld happily be working in the background checking you PC.
If you want to verify this then there should be a Kaspersky icon on the Windows task bar in the bottom right (hover the mouse over it to check)..
RIGHT click on the icon and select Open (or similar).
This should open the Kaspersky main window, and on there it should say something like "Kaspersky is working and everything is fine" (or words to that effect).
You can close this window and rest assured it is working OK.
Also If you have Windows XP or Vista it has something called the Security Centre (in Windows 7 it is called the Action centre). You can open it by going into the Windows Control Panel.
This security centre / Action centre should tell you what security software Windows thinks is running on the computer.
Check the settings for firewall, anti-virus, malware etc.
Against each of these it should say Kaspersky is managing all of them and everything is fine.
If you DO get a virus or other problem then Kaspersky will "pop up" with a message to let you knowm and then ask if you want it fixed. If you say ok it will fix it for you.