It's pretty obvious - you run the risk of also dowloading a virus. There are many sites out there and most no-one knows who they are etc.
The advice is always to only download from safe places, say, Apple's app store etc where you know you should be able to download safely. Read the magazines for info on safe sites etc. Some flashy app that takes your inside leg measurement and works out what clothes you need to impress so-and-so might sound intriguing, but it's oh so easy to add something nasty into the mix.
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