Based on your description of events it sounds like what happened was that an image or a bad ad, from the site in question attempted to load among the results so it was blocked by Malwarebytes via the Web Protection component.
it prevents your system from connecting to any site in its block list so you don't have to worry about anything malicious.
If you want to turn this feature off you can, myself I would leave it on at all times
When the window/alert opens again, see if there is a little checkmark you can click on the says, don't show this alert again?
OR
Open Malwarebytes, under the real time protection shield, click on the button beside Web Protection and this should turn it off.
Or
You can go to add remove programs list and remove the application from there.