Malware filtering is automatically enabled company-wide via the default anti-malware policy. As an administrator, you can view and edit, but not delete, the default anti-malware policy so that it is tailored to best meet the needs of your organization. For greater granularity, you can also create custom malware filter policies and apply them to specified users, groups, or domains in your organization. Custom policies always take precedence over the default policy, but you can change the priority (running order) of your custom policies.
The following video shows some of the configuration steps detailed in this topic for the anti-malware policies: