Apart from .exe files, ones to avoid are .zip, .rar, .wma, .wmv, .mov. Check out the links below for info about wma (& wmv) & mov files.
What you should know about WMA Files
mov files

Check files with Bitzi before you download them. If other people have rated the file, you'll get some idea of it's content & quality. If a file has heaps of sources but no Bitzi rating, I'd stay away from it.
How to use Bitzi

Check out the threads below for file sizes to avoid & other helpful info.
Virus thread: Typical virus spam file sizes - Make a note of them (click on blue link to see)

* WARNING: Viruses on network you should be aware of ! *

How to find music(tips for movies, too)

Most important - make sure that you're using a good antivirus program. Keep it updated & use it to scan all files that you download - before you open them