This is one of the most frequently asked questions my two younger children asked. There is another laptop next to mine and sometimes, they play online games. But there are some sites which offer downloads and kids being kids, will gullible and do that.
I have given them strict instructions that they are not to click any download button without my permission. I am very afraid of them downloading things with virus and spyware.
If you have children using your PC, remember to supervise them all the time. Also, install some reliable and secure antivirus program like this NOD32.
Take a look at the features mention in their site. I hope it helps to protect your PC as well.