You can't scan a file before you download it. You'll have to download the file, then scan before you open it. To open your saved folder outside of LW, go to your LW library, click on saved files then click explore...folder opens. Now right click on the file you've downloaded & you should see the option to "scan with". You should see the name of your AV program, choose to scan with that. If you've installed AVG Antispyware, you'll also be able to scan with that from your saved folder, if you want to.

AFAIK you'll have to manually scan with Ad-Aware, Spybot etc (unless I've been missing a trick somewhere). You can schedule most AVs to scan your computer at a certain time each day.

Just remember to keep everything updated