Let's say you find a site with a tantalizing selection of great, new movies. You excitedly click a title to play the movie, and instead of the opening credits, you see a pop-up indicating that you need to download special video playback software.
Downloading and installing software from an unknown source is perhaps the single biggest security mistake you can commit. Doing so can open a virtual Pandora's Box. Your computer may be crippled by a virus. Your personal information, including vital financial data, could be stolen.
When necessary, legitimate services will offer adequate explanations and alerts before they ask you to install a program. Illegal sites, however, merely try to convince you to click through a download process as quickly as possible. Avoid such sites altogether and you and your computer will be much safer.