Oddly enough, searching for band song lyrics will often getcha nailed big time, too.
Been there, regretted that.
You're right, a lot of those Web Sites with song lyrics on them have malicious intent that I would stay clear from. My suggestion when looking up song lyrics in the future would be to search for them on the newsgroups where you shouldn't get bombarded with viruses, spyware, adware and other assorted nasty stuff.
Safe lyrics site, been using it for three years.
http://www.top40db.net/
WinMX is a useful utility if you use it with common sense. Look at just what sort of file you are getting. An exe or scr file download is just begging for a virus. A blocker like Peerguardian 2 filters out most of the fake file hosts RIAA tries to flood the system with.