Great advice from our admins and mods! Always practice safe browsing!
One trick is to go to your folder options, click the View tab, and uncheck "hide extensions for known filetypes" Now you'll get to see what the file extensions are, which will determine what program will try to open the file you have downloaded. Whether it be a .png, .pdf, .doc, or .EXE!! Don't double click any files with unfamiliar extensions or arbitrary executables (like .EXE or .BAT files)...
Keep in mind, unless you know what you're doing you shouldn't change file extensions. Windows will get confused about what software to use.
When receiving archives (usually .zip) be sure to examine the contents carefully; even if you 'know' the sender.