Downloading programs off the Internet is a pretty scary thing to do these days, you never know if it contains malware (i.e.: spyware, virus, etc.). Even if you used a program in the pass and it was perfectly safe to run, tomorrow it can be full of malware.
The only way to protect yourself is to use good judgment, and make sure you have good real-time anti-virus and anti-spyware scanners installed with up-to-date signature. I also helps to make sure that your computers OS is up-to-date, and you're running a good two-way firewall.
Before you download anything, you should always question the source of the program. If it comes from a seedy looking web site then I would think twice before running it. Even after I download the executable to my local computer, it and passes through my anti-malware scanners I still question if the program can contain viruses or spyware.
As an extra step, you can run a Google search on the executable's name ( i.e.: programname.exe), or the name of the program in quotes. Then I add the following words to the end of the query: spyware OR virus OR malware. For example, programname.exe spyware OR virus OR malware.
For those who want more information about computer viruses, worms, and botnets, check out the following video. They make it really easy to understand these topics for those who might need some help with this topic. There is also my free ebook that I released few months ago called "Defending Yourself in the Information Age".