If you installed a new lock on your front door wouldn't you try it to see if it really locks? Don't you check it sometimes when you leave to make sure you locked it? Why not do the same with your anti-virus program?
If nothing happens, try opening it. If you don't get a warning now, either you don't have automatic antivirus protection, or it's not working. You may have turned it off and left it off -- it's happened to me.
As a last step, try scanning the file -- testfile.com -- manually with your antivirus program. You should definitely get a warning now. If you don't, your antivirus protection must not be working at all.
If your automatic protection didn't complain, try scanning the Zip file -- test.zip -- manually using your antivirus program. You may get a warning this time. If you don't, your antiviurs program doesn't scan inside Zip files. Go on to the next step.
Extract the (still perfectly safe) standard test file inside the Zip archive -- EICAR.COM. You should definitely get a warning somewhere along in this process. If you don't, either you don't have automatic antivirus protection, or isn't working. You may have turned it off.
Open the message when it arrives and save test.zip to your hard drive. You should get a warning somewhere in the process. If you don't, either you don't have automatic antivirus protection, it doesn't work with the email client you're using , it's not effective for Zip files, or it isn't working.