It may not save everybody all the time but it is a good idea to unhide file extensions, and to understand which of them execute programs. A good anti-virus program will warn you, but it's better to have an extra level of being aware of what's happening.
The last year I have noticed an increasing attack where you download a file, let's ust some-file-name.rar and you get your downloader daying you're going to download some-file-name.rar.exe! They are trying to download and have you install some kind of download file manager, and who knows what their motivation is? I see no way it is benevolent.
Oddly, I sometimes try a second shot at the download and they give me the plain file without the EXE file downloader included.
By the way, iLivid is the worst offender, and many of the download sites have adopted it. Cnet provides this rather benign review (not good enough for us to host it but not bad enough to warn you off): http://download.cnet.com/iLivid-Down...-75739415.html
However, the way they attempt to insidiously install themselves makes me want nothing to do with them.
It's a scary Internet world and as far as I can see there are more people (or at least they have a greater presence) who want to harm you than to help you.