Yes, you do.
There are very few posts in this board where people have had significant
issues from simply installing, updating, or scanning. The issues mainly
come from removing. You'd like to know what's on there, right?
That said, I do wonder just what you downloaded and from where? Microsoft
Antispyware, available from
www.microsoft.com/spyware has a red and yellow
target icon which is quite visible, and the process for initiating a scan is
pretty easy to find.
Some are confusing this with the Malicious Software Removal Tool. This
comes from WindowsUpdate, and it is invisible--you download it , it runs,
and if your system is clean, it disappears leaving only registry entries and
a log file--\windows\debug\mrt.log, as I recall, behind.
