computer problems with double malware

Even though I use Malwarebytes Anti-malware, I keep getting sounds from ads but they don't pop up. Also my wallpaper is gone and replaced with a blue screen, the a message saying that my computer maybe infected with a spyware. I think that has something to do with the malware or virus. Following that an icon that looks like a malware(a red shield with an x in the middle) appeared on my taskbar and it would often have messages popping up saying my computer is infected. The other thing on my taskbar is System Security. How do I fix it?

I fixed both malwares using mbam. But I'm wondering why my computer is still prone to getting malwares since I don't go to harmful sites.