Depending on the product you have it may be doing one or more of the following:
Looking for patterns or signatures belonging to something it has been programmed to recognise as malicious.
Looking for: anomalies or behavioural deviations (from a baseline) or detecting actions of known malware.
Some security software works real-time and will scan when you download and install something to your PC, helping prevent the installation of something malicious.
Depending on what has infiltrated your device - your security software may help quarantine it and remove it.
It's important to know that we are all at risk from new, advanced, complex threats that the software we have hasn't the capability of spotting.
Complex "malware" - malicious software may need to be removed by a professional.
Having a best-in-class security product means we increase our chances of surviving a cyber attack.