Remember that you can do yourself a big favor by not randomly installing software from untrusted sources. That’s the single biggest source of malware on your system. Convincing your teens of this is another issue entirely. Some systems require an administrator password in order to install software, and if you retain the admin password, you can filter out much of the software that would get downloaded on your home computer.
Peer-to-peer networks are notorious sources of malware. The lure is to free music, pornographic content, or some deal too good to be true. Once you start downloading files onto your computer, you have opened yourself up to considerable risk.
Be cautious about online games, or video sites that require you to install software in order to play.