I remember having the same problem, especially with incomplete and/or corrupted MKV files. Win Explorer would try to generate a thumbnail and crash when it fails. That's the first time I decided never to download anything else directly to the desktop xD
Can you imagine Explorer crashing every five seconds? Anyway, I was so pissed at the time I restarted the PC and went into Safe Mode, and from there I could safely delete the files.
And by the way, when was anything from Mediafire/Rapidshare/other-crap-like-that legit? If you want to share stuff, there's always YouTube, SkyDrive, and many other services that take more advantage of personal files and their preference of public availability and sharing.