Ok, it sounds like you're infected. Don't panic, just download AVG from the link I gave earlier. Make sure you update it before you scan

You have to watch the files that you download. Look at file sizes & extensions. Make sure the files you download don't have '.mp3.exe' or '.wma.exe' etc. Pay attention to file size as well...if a song or video is only hundreds of KB in size, chances are it's a nasty! Always check movie files with Bitzi before download.
How to use Bitzi
Like 6_pac said, make sure you scan files with your AV first - before you open them