Malwarebytes does work. But it isn't something that scans as you use your computer. Its only a scanner you can run periodically. Unless of course you purchase the paid version for like $20. But yes its a good application. You may get false and true information regarding it as alot of us have our own opinions.
Best way to actually protect your system is Using Golden's advice.
1. A good NAT router
3. "Anti-virus" software
4. "Anti-malware" software
From this Thread Suggest a free spyware program
EDIT: You can also use a program called Peerblock to block specific known ip addresses of many different things. Highly Recommended What it does is allows you to control who your computer talks to.
Can obtain it from PeerBlock