yes of course!!! Be always careful about files that you dowload from the internet AND links that you find on the internet.

Files because of course a malicious file can execute code that creates a backdoor access for attackers or compromises your system.
Links because when you click a link you send a request to a certain server. The server knows your IP address and can start scanning it to find open ports and vulnerabilities, which can ultimately used to run exploits against you and compromise you in many ways.
Also links can simply be phishing attempts, which means you go to a login webpage that looks familiar and put your credentials. These credentials are immediately stolen because the page is crafted by an attacker.