Malwarebytes achieved a perfect score in malware cleanup during recent testing by the AV-TEST Institute.

http://securitywatch.pcmag.com/security-software/325924-antivirus-software-for-the-morning-after

http://www.av-test.org/en/news/news-single-view/17-software-packages-in-a-repair-performance-test-after-malware-attacks/

When your antivirus software is nicely installed and integrated with Windows, it has lots of chances to prevent malware infestation. It can block access to the malicious URL, kill the download before it executes, eliminate known malware based on its signature, detect and avert malicious behavior, and so on. But if the malware has already dug in its heels, that’s a different story. An arduous, months-long test by AV-Test Institute evaluated which products do the best cleanup job.

Note that even if your antivirus is installed and running, it might miss a brand-new zero-day attack. If later on it gets an update that can detect that zero-day malware, it’s in the same situation as a product installed on an infested system. Well, it’s not quite as bad; at least the malware can’t fight back to prevent the initial antivirus installation.