Often, these "download" buttons don't give you a file at all. Instead, they redirect you through a series of ads or require you to "verify your age" by entering credit card details or phone numbers.
In worst-case scenarios, running an unknown file can trigger a script that encrypts your entire hard drive, demanding payment in exchange for a decryption key. Social Engineering: How Attackers Deceive Users DOWNLOAD FILE Don--39-t Disturb Your STEPMOM.zip
Highlight the file and press Shift + Delete on your keyboard to completely erase it from your system, bypassing the Recycle Bin/Trash. Often, these "download" buttons don't give you a file at all