yes true.. you would have to purposely click on the exe file yourself to get an undesirable come bite you in the @..... although there are catches when you start downloading movies ands such, including ripped ones (hence part of the no piracy warning here) that those smart enough who makes those media files puts up a 'free' sign but then encodes into the media file say, for eg, a code that during/ending your playback of the file it launches a i.net browser to its website.. which from websites (including untrusted ones) can lead to problems (ie: spyware/adware)..
but still is a two step process to be infected.. so in general, even if its illigal or legal in your dot on the world map, dont download anything from untrusted sources (or just dont download illigal stuff from p2p in the first place), just like emails and spam..
and as a soon-to-be audio tech in the music industry i now understand why the musos and artists etc have this issue with this piracy crap.. think about someone throwing invisible punches at you then muggin you off your wallet, times that by how many people 'share' their music (for life).. same thing.. although interesting note is that some musos/bands will give out free live recordings from thier website to download via bittorent/etc, provided that you dont misplace thier trust by converting it to a different format or selling them or whatever thier terms and conditions are..