I assume you are using a home grade, commodity type router.. probably running a linux variant..
You can modify your hosts file on your router OR your PC to block known malware sites. There are several sites that maintain and update these lists.
Take a look at this:http://msmvps.com/blogs/hostsnews/default.aspx
advantages: free, easy to modify/update, reduces bandwidth via blocking ads, etc ( get requests never leave your internal network.), you control exactly what you want to block
disadvantages: large entries in the hosts file may slightly delay lookup requests, requires periodic update to keep up with changes
Been using this method for years and it definately seems to have worked(as evidenced by my lack of notifications from antivirus/malware monitoring.)