for music only download mp3, wma, ogg, wav.
for videos only download wmv mpeg mpg mov ogg avi (and iso/bin if they burn as compliant)
for pictures jpg jpeg gif png bmp .
for wma/wmv make sure you dont agree to any license/software installations that you are asked about and youll be fine. definately dont download con, bat, exe, pif, etc.etc. theres more but stick with the list above and you shouldnt have any problems.