Download music from what, the internet?
If you buy your music from legitimate sites such as HMV, Tesco, iTunes there is no risk.
If you want music but don't want to pay for it, you will have to use a peer to peer site where you are downloading directly from other peoples hard drives. Just because the track title is 'Thriller - Michael Jackson' that doesn't mean that is what you will get. You could get anything, including a nasty virus on your hard drive.
Do this too often and you could have bigger problems than a corrupted hard drive:
http://www.pcadvisor.co.uk/news/index.cfm?news id=103218
http://www.telegraph.co.uk/scienceandtechnolog y/3358198/File-sharing-fine-could-open-floodga tes-for-prosecutions.html