I download some music songs from a website.
The website gets the requests from users and then it searches through WWW and lists you hundreds of URL that may have fulfilled your requests.
I got what I want, but when I doubled clicks the music files, which are of RM format, a webpage immediately popped out.
Do you think if the downloaded music files had been infected by spywares?

Let's ask a basic question. Did you association the .RM files with the RM Player app of your choice?