Who are "Mesei Shav"?
Malbim: They are people who entice and seduce people away from Avodas Hashem through heretical claims.
Why did he not sit with them?
Radak: It is lest he learn from their bad ways and words.
Mesilas Yesharim (Perek 5): One should purify and clean himself, and avoid commoners sunk in follies of the time.
Who are "Na'alamim"?
Rashi: They are people who enter covert places to do their deeds in darkness.
Radak: They sin in private and are hidden from people.
Malbim: They are people stuck to worldly lusts and pleasures.
Why did he say "Lo Avo"?
Rashi: I do not regularly enter their gatherings [Malbim - lest I learn from their deeds].