Keeping it turned on at all times will protect yourself and tighten security a lot.  If you are using  Vista or Windows 7, then Internet Explorer 9 ( on vista) and 11 ( on W7) has an inbuilt smart filter that scans all websites that you visit and all web based downloads. It will alert you and block access to known infected websites and unknown or malicious executable files that you are attempting to download. It won’t block Zip or Rar files.
Obviously smart filter only works if you use Internet explorer as your browser and not if you use Firefox or Chrome.
If you are using Windows 8.1 or Windows 10, then you are much better protected, because smart filter is inbuilt to windows and scans/checks and blocks ( if needed) any file you download or open on your computer. This way it works on all browsers and any files received by email as well as web scanning.
Other browsers have similar protection that should always be left turned on:
Chrome has  “Enable phishing and malware protection”
Firefox has the “Block reported web forgeries and block reported attack sites”
See HERE for how to check that they are turned on.