If they play fine then there shouldn't be a problem. Just rename the files with the right name. More info in this thread:
http://www.gnutellaforums.com/showth...hlight=corrupt
If your d/loading program files(exe, zip, ect) then they could contain a virus. It's very risky d/loading program files off p2p networks. See:
WARNING: Viruses on network you should be aware of!