Usually what you will see are viruses, trojans masquerading as music/video or more likely as software. Always check sizes match and never download if your unsure, its also not a good idea to try to download cracks from MX.
I use Spybot Search & Destroy, Adaware SE ( a must have), Sygate Personal Firewall, and Avast Antivirus with worm protection. Never had a problem yet that was trojan, spyware, or virus relate using this config of tools.
There are other good ones but those are all free and easy to use, love mx, and work well too IMHO...
Links for all of the above located on the links up top here ^^^