I remember there was a similar thread some time ago...I think it was this one
, or this one
Actually, after a little more searching, this is the thread
where McAfee was mentioned
It's extremely unlikely that video files are the source of any malware. It's more likely false positives from McAfee, or something else video-related you installed on your computer (like a media player or codec pack).
If you can list what downloads have been giving you issues, we can investigate further.