Windows Security Essentials protects your PC from viruses but not from malware. (They're not quite the same thing). So you need some sort of malware protection.
The free version of Malwarebytes Anti-Malware is 'run on demand' only, so you need to actually run it for it to do anything. The paid version is 'run in the background', offering 'real-time protection', so that it constantly watches out for malware. (There are plenty of alternative programs too, both free and paid, such as Spybot Search and Destroy).
I've got the free version of Malwarebytes Anti-Malware (MBAM) on my machines but I accidentally downloaded something nasty recently which, as well as filling my screen full of malware, disabled MBAM at the same time. However I solved the problem by downloading and running AdwCleaner instead:
https://www.malwarebytes.com/adwcleaner/
AdwCleaner has the advantage of not needing installation. (i.e. you just run the downloaded file directly). That means that dodgy software can't disable it.
So either keep MBAM on your computer or, at the very least, bookmark my link to AdwCleaner, so that you've got an escape plan if something nasty turns up on your computer.