: Sites hosting these files often use "Download" buttons that are actually ads. They may try to install malicious software on your computer.
If you can tell me the or what specifically you are trying to do (e.g., find subtitles, fix a playback error), I can give you more detailed steps!
: Many sites will redirect you through several pages of ads before giving you a real link. Never provide credit card info or download ".exe" files if you are expecting a video.