Usually, users are simply tricked to click something that looks innocent, like: picture, video clip, or music file. In fact, the "innocent file" is an executable with embedded icon of picture, video clip, or music file. The similar trick works with documents. Very dangerous are also shortcuts in ZIP files. There is no problem if the user is simply cautious, and always checks what he wants to open from the Download folder. But most users, usually do not do it.
The chances to be infected in this way are very little if the system is protected by a good AV. But, it the user clicks everything and frequently visit shady websites, then it is better to use the web browser in the external sandbox like Sandboxie, ReHIPS, Comodo. The user should configure sandbox to not recover files automatically from the Download folder.
Edit
... or the user can apply default-deny setup.