Download the wallet to your computer, most often than not these web wallets are open-source and available on Github.

The problem with a web wallet is that since clients potentially re-download the app everytime they use it, the server can be compromised and malicious updates pushed silently, selectively, and make many victims in a short window of time.

This has happened several times in the past:

https://cointelegraph.com/news/myetherwallet-warns-that-a-co...

https://mashable.com/2017/12/21/etherdelta-hacked