They can if you have a virus. See:
WARNING: Viruses on network you should be aware of!.
With a virus there will usually be a large amount of files(1000's), and probably all zip files. If there are just a couple of inappropriate files, then it's probably not a virus. There are a lot of mislabeled files being shared, but I don't think the name would change after you download it
.
Just to be safe you should run a virus scan and if you find anything, try going to
NorbiesWorld (click on link). It's a site that offers free computer help. Just follow the instructions.