You sound like you have downloaded a trojan...You need to run a spyware scan, download this AVG anti-spyware formally know as Edwido it's excellent...
http://www.grisoft.com
Also be aware of WMV files as they tend to have little nasties hidden in them...
What you should know about WMA and WMV Files
Check this sticky out it will help you with file sizes to be wary of...
WARNING: Viruses on network you should be aware of!
Also use bitzi to look your files up before you download...
How to use Bitzi Web Lookup .. & How to use Magnet Links & Direct Connect/Browse/Chat