This paper describes our research in evaluating the use of supervised data mining algorithms for an effective detection of zero-day malware. Our aim is to design the tasks of certain popular types of supervised data mining algorithms for zero-day malware detection and compare their performance in terms of accuracy and efficiency. In this context, we propose and evaluate a novel method of employing such data mining techniques based on the frequency of Windows function calls. Our experimental investigations using large data sets to train the classifiers with a design tool to compare the performance of various data mining algorithms. Analysis of the results suggests the advantages of one data mining algorithm over the other for malware detecti...