When you download a file from the Internet, you usually get a prompt asking to to Run, Save or Cancel the download. What's the best answer?
Most of the time, you should choose to save the file to your Desktop or Downloads folder - and make sure you look to see where it's being saved so you can find it. When you save an installer file, or picture or document to your computer before opening it, your antivirus/antispyware program will scan it and let you know if it's infected. Otherwise, if you choose to just Run it from the Internet, you take the chance of setting loose an unwanted piece of malware that's hitching a ride with the file you DO want.
Here's more information from Microsoft on the subject:
I've spent many, many hours lately cleaning up rogue antivirus/antispyware programs that wouldn't have had the chance to run if the user had simply taken an extra minute to save the file before running it. That's not the only way to get a rogue infection, but it's a good one.