"This type of file can harm my computer. Do I want to keep iTunes 10.6.3 anyway?
I got this message after I hit the download button. Disregard?
Mac OS X Version 10.5.8-OTHER, Mac OS X (10.5.8), having trouble shutting down
It sounds like the web browser is providing a general warning about the file type.
If you're trying to download iTunes from the Apple website (http://www.apple.com/itunes/download/), it's fine.
This Apple document might help you out, it has some good pics -> iTunes: Downloading iTunes for Windows using Internet Explorer