"I would expect that if I ran it under LINUX, as it runs in a browser, it would still connect to the site containing the trojan or virus, and try to download it."

Yep, that's exactly what happens. I tried it once. Firefox came up with a box saying that "setup.exe" (or simialr) was a file of type application/msdos-windows and what did I want to do with it?

Until you persuade the application to run, you're quite safe. Of course you can't run a .exe on Linux anyway. Under WINE - it would probably crash WINE or provoke an error message as soon as it started trying to to do illegal things that bypassed the Windows API, which being malware it's quite likely to try.

Anahata