It's really a very personal preference. Ideally, I think it should be done right after each update, just after getting new virus definitions, and also right after installing anything new. That's the most aggressive option if you're really paranoid.
A more normal option is to do it each night, when you're not using the computer at all, or at any time that you can left it powered on, but not using it. Once a week is also a common suggestion.
But most important of all, you must think what you do with your computer. If you almost never install anything, do little web surfing and work with offline stuff most time, you will not need to check that frequently. But if you're most time getting things from internet, a regular scan is better.