Thanks for the replies.

Actually I never downloaded anything with .exe or .bat or .com. That's the point. The only files I ever downloaded were .mp3, .wma, .wmv and .avi. The link that Grandpa posted brings you to a link to a PC World article that says:

"Risk Your PC's Health for a Song?

Ads and adware have a new way to get on your computer--through files that appear to be music and video. PC World has learned that some Windows Media files on peer-to-peer networks .... contain code that can spawn a string of pop-up ads and install adware. They look just like regular songs or short videos in Windows Media format, but launch ads instead of media clips." ( a quote from the article.)

I once downloaded a regular movie with an .avi extention and after running a virus scan I opened it and the system went crazy using 100% resources with warnings from Windows XP that my resourses are dangerously low. I couldn't delete the file except using software that deleted it at boot up but I later found out that Windows XP has an issue processing .AVI files and that they are going to make a patch for that in their next Service Pack update. Hopefully that's all it was.
No matter how careful, it still can be a crap shoot. But I love my music and now that I just got DSL, I love those movies I just wrote to my anti virus software company. Thanks for that info. Funny, they have a feature in their software called "P2P Shield" which is why I chose them in the first place. For that extra protection.