If only all my users were like you, Gandalfe! Well, I'd also probably be out of a job so, maybe not
While I +ultra Gandalfe's comment and I think that's the best solution, I've never heard of malware that activates while you're downloading -- although you can definitely get malware by just going to a page on the Internet. For a downloaded file to infect you, you have to double-click it after the download is complete. I always check my downloads at VirusTotal.com before I open them. It's very easy to use and it's pretty quick, which is why I like it. VirusTotal will run the file through about 70 different antimalware applications to see if any of them have a hit. Then you can decide if it's worth the risk to open the file.
There are two exceptions to what I just said about VirusTotal.
First, if the malware is brand spankin' new (called a zero-day), VirusTotal may not have cataloged it, yet. Second, it's extremely common to run a text file or a PDF or something similar through VirusTotal and get an all-OK result, but there's a link to a malicious website inside the file.
And one final warning. The stuff you submit to VirusTotal.com becomes part of their malware database. So, don't submit files with personal info or files you think might have personal info. Oh. Also remember that VirusTotal is owned by Google. (Being more specific, it's owned by Chronicle, which is a subsidiary of Alphabet Inc. Alphabet Inc. is the parent company of Google.)