My wife got an email from an acquaintance that looked like a phishing attack. It had a generic text like: " Here are some files for you" and a link. She deleted it, but I was wondering if I used a small java program I have that uses a URLCOnnection class object to send an HTTP GET and read the response if there was a way for a site to notice my activity and reach out and put a file on my PC? I've never heard of that capability, but there are a lot of powerful tools out there that could do the unexpected.
If you're concerned about the security of the Windows machine (probably wise when accessing a suspected malware site), you could retrieve the file via curl or wget from within a patched-up virtual Linux machine.