Normally, most servers only have you download a custom spell file, which is a .txt file and has no chance of being infected or dangerous to you. Some also have other files, but I don't think any of them require you to download any .exe or script files. If they require you to download a .exe file or a script, and tell you to run that file, then yes, you might be at risk. Otherwise, you should be perfectly safe.
If you have a certain server you are wanting to play on, I will personally review their custom files for you and tell you if you are safe or not. Though, again, I have been here a long time and have never seen a server that was asking it's users to install a Trojan or virus or any other type of malicious file as far as I know.
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