The rapid growth of malware and its malicious use result in significant financial losses for various organizations. Many researchers are interested in applying machine learning methods to solve the problem of malware detection. Nevertheless, because of the diversity of algorithms, each machine learning algorithm has its advantages and disadvantages for a given situation. Purpose: To apply machine learning for malware detection in the Windows operating system using Portable Executable header; to compare six different machine learning algorithms based on several criteria. Results: The comparison of various algorithms, including such classifiers as Random Forest, Decision Tree, Naive Bayes, Support Vector Machine, Multilayer Perceptron, k-Nearest Neighbors algorithm with a large dataset shows that some algorithms such as Random Forest, Decision Tree, k-Nearest Neighbors, and Multilayer Perceptron can detect malware with very high accuracy (> 98%). The Random Forest algorithm is especially well suited for Windows OS malware detection. At the same time, Naive Bayes classifier also has a high accuracy rate (> 96%) and fast processing time. Therefore, we may consider using Naive Bayes as an alternative.