You're more likely to get a virus from a program download but that's not to say you'll never get one from an mp3. Make sure you have a good AV program & keep it updated. Scan your files before you open them, get to know what file sizes are junk.

Look at the link LOTR gave about virus probs on the network. It's a good idea to have spyware & adware removal programs, too. Spybot & Ad-Aware are both good, free programs.