any anti-virus program should allow you to scan any file.
which AV software are you using?
when you right-click on an exe file, do you see an option like 'scan for viruses' or similar?
alternatively you can upload any dodgy looking file to an online checker such as virustotal
, which runs the files through a series of AV engines and reports back a score of un-trustworthiness - 0/41 means it's clean, while 41/41 means get rid of the file now!