Is it true Whenever you download a file from the Internet you should check it for viruses before using it?

Sometimes if it is zipped, (file extension .zip) there is an option on Win Rar that allows you to scan for viruses before saving it on your machine. Just use the virus scanner you want to scan it. But it it isn't zipped, some antiviruses scan icoming and outgoing files (in this case, incoming) for viruses. Also, there is something preloaded on your machine called Smart Screen Filter that checks downloads for viruses. So basically find an antivirus software that checks your downloads for viruses.