So of course double-clicking Band.of.Brothers.mkv.exe will cause you to have a bad time. But I'm curious why just having a torrent client downloading something would cause anyone to get compromised. I haven't heard of this.

Instead, just don't run executables from untrusted sources.

Torrents, email, mobile apps (like that fake banking iOS app that looks like the legit one) or otherwise. The transport method doesn't matter much.