Malware Infection

Have you heard of Malware?  I didn't till it infected my computer and froze up my computer.

I took it to someone and they had to take it off.  As I understand it, it is software.  You go to a site and they can somehow install it in your computer.  They told me not to click on anything if it happens again, and to turn off the computer and that should stop them from installing it onto your computer.  Not sure I understand it and I have never heard of it, but I was without my computer for three days.

The anti virus software does not detect the malware.

Just so you know