This sort of stuff goes on all the time. All people have to do is be self conscious about what they download and run.
One thing I can say is just keep an eye on how big these files are that you are downloading. I know of quite a few people that have made these sorts of things, and they were around 22KB, if that doesn't seem right for what you are getting (.exe wise) then don't download it.
All I can say is just be mindful of how you download .exe files.
Especially from nonreputable websites & just about every single P2P app out there
I would only really trust sites like CNET's Download.com, Tucows, etc. without Norton...