Is it safe for my computer to download movies from the internet?

I want to downlaod Terminator 2 from this website a href="http://stagevu.com/video/tigsxmakcfkq" rel="nofollow"http://stagevu.com/video/tigsxmakcfkq/a and I wanted to know if it would harm my computer. I also wanted to know if it's safe in general to download movies from other websites. Maybe you could suggest a list of some sites you like?