It sounds very much as if you are downloading a progamme which I think may well contain a virus or two
Please make sure you are using a frequently updated anti virus programme, and scan anything you download from the gnutella network.
On no account try to open what you have downloaded. Delete it. If you have difficulty deleting it let us know, also if you want more advise about virus protection.
If you are planning to download a movie, right click on it in the search pane, and select advanced>look up with bitzi and you will be taken to a web page of the bitzi site, where you will see if a good or bad report is made about the file. I always use it for movie downloads, and if I see no report I tend to leave well alone....
I hope I have understood your post correctly. Your exe box with icons in it, I first assumed was what you have downloaded, or is it what you see in the search window? What extension does the file have?