I use the default location for saving, some other people change their location. For me, the default is fine.

I don't know anything about Photoshow, but if you're file extensions are changing after download it sounds fishy to me Are you scanning with your regular AV or with AVG? If you're using your regular AV & it doesn't find anything, use AVG as well. It's free, safe & if you don't want to keep it after you've scanned then just remove it.

There are heaps of infected files on the network & you really have to be careful with what you download. Check that files don't say "name of song.mp3.exe"...that's a trap. Or .wma.exe. Check your file sizes too...if a song's 3 minutes long & has a file size of, say, 228 KB then you know it's a nasty! Make sure you're using a good AV program, keep it updated & scan all files that you've downloaded before opening them.

Have a read of this thread, there's some useful info.
WARNING: Viruses on the network you should be aware of

Your questions are fine Don't be afraid to ask! Also check out the stickies (in red) in the different forum sections, they have heaps of useful info & tips.

Do the files play when they're in MPEG format?