I have had a majority of my clients this year call me with spyware and malware issues. Some of these clients are using Next Generation or UTM firewalls. After reading a Wall Street Journal article (It is a good read, it has more than just business in it). I discovered that advertising was causing people to receive malware.
What was happening is someone was purchasing advertising time on the websites and when they placed the ad on the website, it inserted malicious code. Some of these sites are banking and other sites.
To prevent this I had those clients block the advertising category.
Once I had the block advertising, most of them stopped receiving spyware and malware. I would highly suggest you do this simple item. It is a bit of a nuisance as you will see blocked items on a webpage, but in the end it will save you much hassle.