Sorry guys these are all nice explainations, but I feel like they're not absolutely correct...
Unless you're not using a proxy or other technology to effectively filter data, EVERYTHING you click on (open) from any website or whatever (including: location, protocol, datatype, etc.) is at least (if "displayed" in some way) loaded into your RAM. It's actually not even neccessary to physically store the data on any permanent media (HDD or such).
Todays malvare scanner (especially those "worm-virus-trojan-scanner" combinations you find everywhere) come with real-time and non-real-time scanning engines. No matter wether you use Windows (here the application implements the real-time scanning engine) or GNU/Linux (kernel modules are often loaded to run the real-time-engine) it's most likely detected by the real-time scanner because it NOT ONLY checks for new files created on a permanent media (again - it must not be a typical HDD) but ALSO has an (eye) on your RAM and "sees" what's going on there (traversion).
Whenever a pattern matches OR the heuristic-engine (configure THAT!) finds something you will be alerted in the way YOU configured YOUR scanner. This is the reason why even AM/AV solutions should always be configured to YOUR NEEDS!

Conclusion: 88crawler88 you should install a real-time scanner and RUN (that's the point) only files which were not classified as malicious by the scanner after loading. When files are accidentally executed the scanner (if it's a good one) will though warn you, stop the exec on a halt point and ask for instructions wether to continue or abort the execution. Try
http://www.free-av.de/en/index.html it's from Germany and much better than most of these US (Norton) or Russian (Kaspersky) AV softwares. And it's FREE (like beer).

PS: "Real-time" scanner and "on-access" scanners are the same. Online scanners are something different but not important for your local system.