MSN messanger also has similar 'viruses'.
One that I've experienced..
I was IM'ing a friend on MSN and all of a sudden their screen name 'messaged' me and asked if I wanted to see their 'most recent pic'.. and it will send you a file that makes your MSN messenger do the same thing. Weird!
Also like AlphaSigOU mentioned, ALWAYS virus-scan stuff you get on kazaa and other sites like that.
When I was an RA, one girl in the hall thought she downloaded a "really cool screen saver" and it turned out to be a virus that completely killed her system