Spy Bot Search & Destroy is also a good anti malware program.
As an extra to what everyone has said about getting the task manager up and seeing the processes, you don't actually need to check out all the processes that are running.
Run Task Manager (ctrl-alt-delete then select Task Manager)
Select the Processes tab.
Click where it says CPU (at the top of the column, next to Image Name, User name etc)
You'll probably want to click this twice. This orders the processes by CPU usage so you can see which one is causing your processor to grind away making your computer slow.
You may also want to click on the Memory column next to in case the malware is making your computer slow because it's hogging the RAM.
As an extra to what everyone has said about getting the task manager up and seeing the processes, you don't actually need to check out all the processes that are running.
Run Task Manager (ctrl-alt-delete then select Task Manager)
Select the Processes tab.
Click where it says CPU (at the top of the column, next to Image Name, User name etc)
You'll probably want to click this twice. This orders the processes by CPU usage so you can see which one is causing your processor to grind away making your computer slow.
You may also want to click on the Memory column next to in case the malware is making your computer slow because it's hogging the RAM.