You should start getting it from CD-roms, that shit you can trust

You have the option of piping it into a file instead, inspecting that file for yourself and then running it, or running it in some sandboxed environment. Ultimately though, if you are downloading software over the internet you have to place a certain amount of trust in the person your downloading the software from. Even if you’re absolutely sure that the download script doesn’t wipe your home directory, you’re going to have to run the program at some point and it could just as easily wipe your home directory at that point instead.