There is no central LW server...you are downloading files directly from other LW users...
If you download copywrited material, you risk infection with viruses. I would recommend not downloading any .exe files (add .exe to filter), since you cannot scan them first as you can with .rar files.
Also, keep up to date with antivirus software...I have McAfee and it caught all of the viruses I downloaded (probably .exe files) when I first started using LW.
Good Luck