After you've downloaded and installed it, open it.
There may be a wizard, there may not, I haven't installed it in a while.
Follow the steps if there is one, otherwise carry on.
Click the updates tab, then check for updates.
After it's finished downloading any updates, click the protection tab, then enable all protection.
This immunizes your system against most spyware, stopping it before it gets onto your PC.
It won't do anything about malware already installed though, which is why you also need good anti-spyware and antivirus.