EICAR.org has got a dummy test virus file that anyone can download to test the effectiveness of the antivirus software on their machine. The file is available here. most self antivirus software should warn you when downloading the program. THis itself is a good sign. Download all 4 kinds of files listed and check if you get warnings for all 4. If not its time to switch to a better antivirus program.
Note: I have mentioned the free AVG antivirus in my previous blog posts.