You need to install a virus checker on your machine that starts up and runs all the time browsing, and when your mail comes in.
As for this virus, I think you are OK if you just delete it without opening.
Antivirus is worth buying, even if you don't use Outlook, but especially if you do. I love Outlook, but it is popular, and therefore, always under attack.
I have PC-Cillan on my machine, and they have a 30-day trial that will get you started, if you want...
http://www.trendmicro.com/en/products/desktop/pc-cillin/evaluate/trial.htm
I haven't used the others, but any of them are better than nothing! If you have McAfee, then update that right now.... if you are just doing an occasional on-line scan, that is not protection, just clean up.
Klez can start if you open a message with IE and have auto execution enabled, before you get the chance to actually open the attachment. Otherwise, you have to actually open the attachment to be infected.
Info on detecting and cleaning is here:
http://www.trendmicro.com/vinfo/virusencyclo/default5.asp?VName=WORM_KLEZ.H
Depending on your version of McAfee, it may not be scanning web content. The new one can, but the older ones don't. I like PC-Cillin from Trend Micro but any of the top antivirus apps will do.
Trend (www.antivirus.com) also has a free online scanner that will at least tell you if you've been infected.
Good luck!!