A safer solution is always to set up a separate user account for doing insecure things with. One that has no admin or root priviliges. Perhaps create a drop-box for downloads and set the permissions for that to have no execute privileges and also point a virus scanner at it to double-check.
If you're in any doubt about a file, don't run it. Simple as...
Generally avoid Windows XPletive at all costs - partly due to the security issues, but mainly because it's awful!! heh
Any flavour of *Nix will offer you better control over your running services and access privileges to various areas of shares/volumes/drives/accounts, be it a Linux Distro/Unix/MacOSX. XP tries to hide as many things as possible from the user behind those annoying 'wizards' which is all very well if you don't know what you're doing, but a pain in the arse if you do.
What's probably happened is (as mentioned before) a trojan or collection of trojans have been attached to another file (possibly to set your PC up as a zombie to infect others) but as long as you don't execute the file they can't do any harm at all. Another way to make sure you're safe is to never allow downloads to automatically execute (like perhaps .zip files automatically decompressing when downloaded), so that you can check them out first.
You're never 100% secure, but if you can make it hard enough for the average script kiddie out there they might just move on to an easier target, unless they're really determined.
Also - a positive for Unix/Linux/MacOS users - Wine (free download) lets you run Windows apps without needing to run Windows. Linux version work fine right now, and the Mac version currently uses X11 to run it within the Unix environment, but I've read that it's currently being ported to 'carbonise' it so that it runs natively in the OS on the Intel Macs and then later for the PPC Macs. So you can throw away your vile OS, but keep all the functionality.