Let's check how far you've got:
You should have downloaded a file called mbam-setup.exe. (It typically takes 10 to 15 minutes to download as it's hosted on very busy servers).
Then you should have double-clicked on that file, to run the installation program (accepting all of the default settings).
That should have put a new (Malwarebytes) icon onto your desktop.
Theoretically you should now restart your computer, while holding down F8, to go into Safe Mode but it's often not actually necessary. (if in doubt though, do it anyway).
Then you should double-click the new desktop icon, to start the program. From the opening screen, click 'Start full scan'. (That might take half an hour, or longer).
When something nasty is shown in the results, check that everything has a tick against it and click 'Remove selected'.
Chris