If you intentionally start downloading malicious binaries and scripts, then no freaking magic AI-accelerated from the future anti-virus would protect you.
In Linux we don't download any binaries (.exe) at all. Everything is from trustes repositories, which, btw, are validated using checksums and TLS certificates. Not perfect, but like 99.9% more secure than going to phishing site and downloading binary.
I prefer streaming. I'll just stream movie from my Jellyfin instance instead of downloading. π