Mine are scanned - as I receive them - but I also do scans on a regular basis, too. You just never know - if a site you went to have given you a virus too.
As dw16 I use AVG and touch wood its fine as if I enter a unsafe site it tells me, so I leave.
My avg-free software scans all files being accessed from or written to the hard drive. Most AV programs should be able to do that. Don in TX