I got this Antivirus Soft installed. It was awfully annoying and my antiviruses (yes, I have more than one) just didn't do anything. So, now I am afraid they might be compromised or something. I am really worried about keyloggers or virus that upload any information/personal files to the web. Is there a way to relieve myself without having to format?
For a start, multiple anti virus engines is a VERY bad idea.
Next, you really can never be 100% sure your machine is malware free, the best you can do is simply to install legitimate software, install all updates and then a good antivirus (such as Microsoft Security Essentials on Windows).
lastly, don't download pirate or software that you don't trust - I cannot say this enough. Anything can be infected.
Now, just be careful when browsing the internet.
For good general virus help/information, take a look here.
As @Wil commented, multiple AV engines running at the same time is counter-productive.
To verify nothing gets transmitted from your machine, use a sniffer (like Wireshark etc.) or download TcpView from SysInternals. It'll show you which applications are in contact with the outside world. If you stop all you regular browsing/streaming/download activity - the apps that are left are worth inspection (mind you, they might be innocent OS components, so don't just go hacking randomly :))