I did use a password but I ran it from the pen drive...
You misunderstood... what I meant was as long as you did not download and install anything with a password from that sketchy site you went to, you are fine.
SO, this would mean no part of malwarebytes should be on my SSD right?
It will install some settings files that will still be there and are not picked up by Spotlight.
The easiest way to find and delete them all is with a third party search tool like iFileX or similar. Just search for malwarebytes and you will see all the files.