If its the free MalwareBytes version it isn't going to in real time prevent infections it can't be configured as a firewall/fiter/detector, you'd have to pay for that functionality I think they call it their "Realtime Protection Module". The free version regularly updated is a very effective malware finder/remover/quarantiner, if you end up with a real malware problem this is a very infirmative and helpful site which has forums specifically directed to dificult malware issues:

http://www.geekstogo.com/forum/forum/37-virus-spyware-malware-removal/