Don't do the sites thing, do the programs thing. But if you do, MAKE SURE your antivirus is up-to-date. I just found 73 instances of two different viruses on a friend's computer - she really likes downloading music, and had no antivirus software. Get AVG antivirus (freeware) if you don't have anything else and can't buy Norton.
For downloading music, I recommend kazaa as long as you take the spyware component off it. If you don't know how, try winmx. Morpheus isn't going to last much longer.
These are all IMO, except for the virus warning.