hi -midnight,
If you already have not done so, change your file extensions so that all file extensions are viewable and visible to you.
In XP, Open Control Panel>Folder Options>View tab>Untick (uncheck) box for "Hide file extensions for known file types">Close Folder Options. What that will do for you is display all file extensions for any file you download or run.
Do not know path for Win 7, but am sure it is something similar...
If you see a file with the extension ending in .avi.exe (double extension) then that file is an exectuable file and is almost certainly malware. You will not see either extension unless you untick hide file extensions first, and would therefore run a malicious exectuable file and get infected. One more layer of security when (that would be you) this is done.