thats not a stupid question,
being paranoid is not really bad. just dont push too far
well, its not possible to build in a .exe in a mp3 file.
you could just rename a .exe into .mp3 but you wouldnt
be able to play it and it wouldnt execute either.

there are some mp3 viruses, but they exploit security leaks
in the media players like microsoft media player and winamp.

check this:
http://vil.mcafee.com/dispVirus.asp?virus_k=99422