Please read forum rules as you're not allowed to post IP's and or titles of what you're downloading & sounds to me like that is a virus or a generated mp3 desigused as a trojan or something. Nothing can follow you on P2P unless you got hit with something. I strongly suggest you run an anti virus program as soon as possible. You might have been infested by a bogus MP3.
http://www.snapfiles.com/freeware/security/fwvirus.html
is some additional AV tools to help you. I use the AntiVir Free Edition as it detects every single virus/trojan thats out there.