Aha!
You seem to be misusing the word 'download', which is causing some confusion here. (NB: That's most definitely NOT a 'criticism; I wouldn't dare criticise the mighty Dannyk13! I'm just trying to work out what the problem is).
As I read it, you downloaded and installed either Malwarebytes Anti-Malware (MBAM) or Malwarebytes AdwCleaner (MBAC) some time ago. So it's already on your computer and you don't need to download it (from the Malwarebytes website again).
However both the free version of MBAM and the only version of MBAC are 'run on demand' programs, rather than 'run in the background' (as the paid version of MBAM is). So the software you've got will do absolutely nothing unless you remember to run it occasionally. (Running it doesn't involve any downloading UNLESS the program asks you to allow it to UPDATE to the latest definitions. If it does, you should always allow it to do so as, just like your anti-virus software, it needs to be kept up to date).
So, every so often (I suggest once per fortnight or whenever you suspect that there might be any malware on your computer) you should run the program (either from your Start menu or from the icon pinned to your taskbar). If you're asked to give it permission to make changes to your computer, allow it to do so. Similarly, if you're asked if you want to download the latest definitions, again allow it to do so. [NB: You're not downloading the whole program again and you don't need to go through any installation process; you're simply letting the program update its list of all the nasty stuff that it has to look for when you run it]