If you’re downloading video or audio files the risk of malware and viruses is pretty low. Usually the worst thing you’ll find is intentionally sabotaged files that have audio or visual glitches. It’s very hard to create malicious media files because they are viewed by other programs and not executed directly. There is a trick they use sometimes where they will try to trick someone by naming a file “popular song.flac.exe” just check the file extensions before opening them and open them from your media player rather than double clicking the file and you’ll be fine.

The real danger is programs. Any executable file could be dangerous, which includes things like roms too. I personally won’t go near executables because the risk is so high. Having an anti-virus software helps, but some of them like Norton and McAfee are hot garbage that don’t work as advertised. Strangely Micro$oft’s Bitdefender is really good though and free. There is a paid version but if you practice the opsec some of the other posters suggested, you should be fine.