OK, I understand the question.
A web site can cause anything to be downloaded to your computer using almost any browser on any platform. But it goes into some cache folder. It can only be a problem if the browser and/or operating system provide the capability to use or install it without the user's explicit permission.
AFAIK, Windows Internet Explorer (IE) is the
only platform that does that. That's why security minded people encourage you to not use IE.
Get Firefox!