Anti-Virus software monitors your hard disk and email for viruses (small programs designed to cause harm to computers) and removes any viruses that are found. Most of the anti-virus programs have an auto-update feature that keeps the software up-to-date against new viruses.
Just because you have anti-virus software running doesn't mean you can't be infected with a virus. That's why the auto-update feature is a must with any program you use. If your anti-virus software isn't updated at least once a week, then you're prone to attack by new viruses.