Malware Immunizer is a free and very useful application that was created to protect your system against known malware and maybe unknown ones. It can prevent some of the malware from installing on your system, which means that you still need an anti-virus software and a firewall. Not all the variants of a particular malware may be in the definition file.
Malware Immunizer does not need to be constantly running, you just need to select the items to be immunized against, then close the program and remember to update it frequently.