Sounds like you could have a virus or something. Perhaps one of those files left a virus behind on your system.
Tips: Arm yourself with these tools:
1. A decent Anti-virus program withupdated virus definitions.
2. ad-ware
http://www.lavasoftusa.com/software/adaware/ (FREE)
3. Spybot - Search & Destroy
http://www.safer-networking.org/en/mirrors/index.html (FREE)
4. Peerguardian:
http://peerguardian.methlabs.org/pg2.html (FREE)
Check your computer over. Other tips are not to overload LW. Don't download too many files at once (especially on dial up.) Wait for LW to settle down before using it.