Well with Mcafee there's two ways you can do it. I do it one of either depending on my situation. One way is to scan the file specifically. You just right click on the file and Mcafee is integrated into the windows shell. So when you right click you'll see an option to "Scan with Mcafee". This allows McAfee to scan the file and only the file, if you suspect a certain file of being contaminated. The other way, if you're downloading lots of things or have a bunch of things to scan, is to make a habit of always putting your new downloads in a certain folder (for me, i have a folder called NEWSTUFF located in MYDOCS). I download things and after i reach a certain amount of files, or when i have the time, i open McAfee and use the folder selector thingie to scan everything in my NEWSTUFF folder at one time.
On the two occasions i found trojans in my system, they were files i had downloaded a few days before actually scanning. As a general rule, as long as you don't open the file you're safe, although i'm no virus expert. I'm sure there are some viruses that would contaminate your system as soon as they are introduced into it (read about some of the worms doing that through your browser & email attachments).
I'd say, keep your Norton virus definition files updated and do routine scans. You should be ok.
Be careful with those filesharing programs. Use their automatic virus scanning utilities if they have them. I know kazaa has one of those... but then again i'm not a big fan of kazaa either lol.
Glad to help and offer my input. It's the least i can do to return the favor and contribute. A lot of people here have helped me out as well.