Personally, I never use the URL filter. If you use some browser hardening (WOT, NoScript, uBlock etc) you should be fine. I have rarely ever used a url filter in 10 years of browsing the Internet, and the only infection I have ever had was a trojan (in 2008 on an old laptop) from a flash player ad which a url filter almost certainly wouldn't have stopped. The only times I have used a url filter (Avast!, Panda) I have only ever had false positives. Don't believe the FUD.