The link that bobad posted does go through most of the standard checks. I'd suggest printing the page and then working through it.

As noted by others, if you're downloading a lot of mp3 you probably are encountering stuff posted by FTP users, even if you're not "file sharing" via one of the FTP programs. ALL SUCH PROGRAMS must be considered as "containing spyware." Mostly it's so that the program makers can blame you if there's a DRM charge. Some users consider it an acceptable risk, but it can "leak out" if compromised files are posted where you can get them via more trusted sources, and there are "exploits" that make use of vulnerabilities in the FTP programs to attach more malicious stuff to the individual files. (This probably is fairly rare, as a fraction of the files that get traded.)

Some people consider Real Player to be malware, but that's probably an "extreme attitude." I've had problems with it trying to take over everything, but I think I've got it tamed and do use it once in a while. I don't like to poke about in it much, since I might undo the magic.

"Macromedia Flash" is another intrusive player that I really dislike having on my machine. It has a long history of vulnerabilities that have not been patched "in timely manner." Since the acquisition by Adobe I've had hopes it will get better; but I'm not really convinced - yet. Expect to see it a lot more, since it makes it "harder" to copy images to your own machine.

Quick Time - for Windows - is another noxious one that has a habit of trying to take over everything. I think that recent versions are less invasive, if you're careful. (No guarantees.)

In addition to the steps in the linked article, you should check your "file associations" to make sure that your machine knows what program to use for the filetype you're trying to play. Looking there will also tell you (confirm) what program to look in for setup adjustments.

John