Auto-Download blocking

Maybe it’s already available and I haven’t found it (I’ve searched for it) but it would be really nice to have auto-download blocking so it is safer to enter shady sites that auto-downlaod adware/malware on your PC. I just experienced this but thankfully Kaspersky blocked it. I know it is easily solvable by enabling the feature where it asks you for the location of the download but still. Thanks in advance.