Download from trusted sources (if it’s video games I recommend using cs rin ru forums since they have good resources on which sites to avoid for instance and repackers post there under game threads), that’s probably the biggest piece of advice.

If you want to be extra safe and don’t mind learning something more advanced than just double clicking .exe, look into sandboxing and apps like sandboxie-plus (can’t verify if it’s any good though from experience), as these will essentially isolate programs away from your filesystem and allow you to easily shut off internet connections it can make.