Bad things only happen to those who download it illegally. (I hope that is not what you are asking about.)
But downloading a LEGAL copy of Windows 7 won't do anything at all.
Before it can do anything, you need to create a bootable DVD, then insert the DVD into your DVD ROM player in your computer, then reboot the computer to your DVD ROM drive, and then it will start installing Windows 7 onto your hard drive, and in the process wipe out everything you have on your hard drive.
That is why it is always super important to make back-ups of all your documents, photos, music, etc.
The one thing you can NOT back up are the programs (files that you double-click to run a program, such as WORD, EXCEL, ITUNES, etc.), because the .EXE file is not the only part of the software. That is like the tip of an iceberg, the part YOU can see. There are other files that you never see that are important, along with the registry database that has information to allow the program to run.
So, these kinds of files, you do not back them up, you make sure you have the original installation/setup CD so you can re-install them when you are finished installing Windows 7.