|This is a tricky one bu your description. I would advise the following.|
restart your system in safe mode with netwroking.
under internet options remove the proxy settings(or check to make sure they are your settings)
then download malwarebytes, and run in safe mode. IF this fails to work.
try renaming the file mbamsetup.exe to mbamsetup.bat then double click. Should bypass the block on .exe files.