like she said, they help to prevent some of those twisting movements, but it can't protect you 100 percent of the time. if you go down hard, you will still hurt yourself, but some people do it when it's not a hard fall, and the braces will make it less likely that you will hurt it in those instances.
They really can't prevent it all the time, it just helps. Lots of people wear them for support because otherwise they have pain from previous knee injuries. Other people wear them because it helps mentally. some people, even after injury, refuse to wear them because they think it's a crutch that makes your leg not rely on itself, therefore making it weaker, therefore making it more likely to hurt yourself again.