Best web protection?

If you're talking about executables then I can you say that SmartScreen is the best. Just use Edge/IE and it will scan all downloaded files. But each other Antivirus that has a good shield (we're talking about standard AV's such like Defender, Avast, etc.) can protect you against executables. You need to decide: Do you want to download the sample first and let it scan by a AV or do you want that a extension (uBlock with various lists) or SmartScreen should do it for you before saving the DL to the disk.
If you're talking about phishing URL's then I can tell you that only your brain is the best protection. Check the SSL certificate (is it a free Let's Encrypt or a another...?), do a who-is, google the domain etc. Here you can also use extensions. I'm using Pi-Hole with this lists: The Big Blocklist Collection You can add them pretty easy to uBlock.
There are also AV's that are blocking servers of ransomware to prevent a attack. I'm talking about Heimdal but it's not so effective.
 
I think ESET have a good web protection module, but I also like Emsisoft with Surf Protection. The reasoning behind why I like them is because whenever I tested them they did their job well and they behaved in a light fashion.

If you are only concerned about web-browsing then you could look into browser extensions. Regardless, ad-blocking can be beneficial for blocking malicious advertisements (e.g. via uBlock).

You can try out various products using the 30-day trial before purchasing and sticking to one.
 
F-Secure, Norton, Kaspersky, Bitdefender, all seem to have excellent url protection against malware websites and phishing hosts. Emsisoft is top in the overall malware protection, but their surf protection is not as good as the other AV vendors. Having an ad blocker is highly recommended, since a lot of malware is delivered via malvertising, but the uBlock Origin/Adblock Plus malware lists are not as good as AV vendors' web filters that I mentioned above.