It's important to never run, or even download, a program from an untrusted source—and by "source," I mean the person who wrote it, not the person who gave it to you. There's a nice analogy between running a program and eating a sandwich.
If a stranger walked up to you and handed you a sandwich, would you eat it? Probably not, you do not trust the person giving it to you. How about if your best friend gave you a sandwich? Maybe you would, maybe you wouldn't—it depends on whether they made it themselves or found it lying in the street.
Apply the same critical thought to a program that you would to a sandwich, and you'll usually be safe. Find trusted sources, and make sure you download from them. Use checksums like MD5 or SHA1 to verify. Don't eat any sandwiches off the street
This is something I refer to a lot, it was time to make a linkable post about it
I really had no clue where to put this, feel free to move it to someplace more appropriate