If a bad guy can persuade you to run his program on your computer, it is not your computer any more.
It is an unfortunate fact of computers that when a computer program runs, it will do what it is programmed to do, even if it is programmed to be harmful. When you choose to run a program, you are making a decision to turn over control of your computer to it. Once a program is running, it can do anything, up to the limits of what you yourself can do on the computer. It could monitor your keystrokes and send them to a website. It could open every document on the computer, and change the word “will” to “will not” in all of them. It could install a virus. It could create a “back door” that lets someone remotely control your computer. Or it could just reformat or encrypt your hard drive.
That is why it is important to never run, or even download, a program from an untrusted source and by “source,” we mean the person who wrote it, not the person who gave it to you.
There is a nice analogy between running a program and eating a sandwich. If a stranger walked up to you and handed you a sandwich, would you eat it? Probably not. How about if your best friend gave you a sandwich? Maybe you would, maybe you would not it depends on whether they made it or found it lying in the street. Apply the same critical thought to a program that you would to a sandwich, and you will usually be safe.