Let’s make this clear right from the beginning: Windows Phone is nothing like Android in terms of security threats. While there is a cornucopia of malware apps for the Google platform, there’s really no risk when it comes to Windows Phone (and there was no serious risk back in the day of Windows Mobile either).
Regardless of that, AVG has released a Security Suite for the Redmond Platform which thankfully is free, since there is nothing to harm your phone. It is advertised to protect you though while being online from phishing (malware is there too but it really shouldn’t be, the way we know it). According to Rafael Rivera, the scanner will look EICAR test strings and the word Hebrew (not sure what to make of this).
The way things are (and most probably the way things are going to be with Windows Phone), there will be no real need for a security scanner as far as a stock user is concerned. Jailbroken devices with sideloaded apps might be exposed in the future but that a completely other story.