You need to be security conscious if you're going to use p2p...there are so many infected files around. Make sure that you have a good AV program. Keep it updated & scan all files that you've downloaded before you open them.

Check file sizes before download. If you're trying to download a music file & you see something that's 197.7 KB or 228.0 KB or 408.0 KB in size...the alarm bells should go off because they're just way too small to be a real music file (those file sizes are just 3 examples of common infected files).

Many zip, rar & exe files are infected & it's up to you whether you want to take the chance of downloading programs. Just remember to always check a file with Bitzi before download (Bitzi is a site where users can rate files & it's great for picking up misnamed or generally dodgy files) & scan with your AV before opening.
How to use Bitzi

Also worth reading: WARNING: Viruses on the network you should be aware of

If you're stuck with files that won't delete, try the advice here. If deleting in safe mode doesn't work, both Unlocker & DelinvFile are good
http://www.gnutellaforums.com/174735-post2.html