Zolar, a VPN cannot provide either anonymity or security from web threats. The threats originate from one end, and all a VPN does is provide an encrypted session between two points, as jmirles stated. Even if you securely accessed a malware site, you would still get the malware. A VPN operates at layer six of the network model, while security protection for an OS has to come from layer 7.
If you want to surf anonymously, there are services out there which offer that. But that is a separate topic.