There is, right now, no way to check Windows Phones for viruses. The sand boxing technology in Windows Phones pretty much ensures that nothing "unwanted" or malicious runs without the consent of the owner. This includes saving files (including malware) into your phone memory. But even if malware gets saved in your phone, it will not run without your consent. At the same time, Microsoft screens all the apps that gets published in the store against malware and potentially harmful applications (at least this is what I have read not long ago).