Sometimes, these files are malicious executables.

Usually, these are just pictures or something harmless. IM clients may warn you about clicking links in messages, but they will not block them. Many e-mail systems can scan messages for dangerous links, but IM generally does not do this. The links you receive could direct you to malicious sites. IM systems allow you to post Internet links inside of messages. You have to be very careful with IM systems because you never really know who is on the other end. If someone is sending sensitive information via IM, that information is vulnerable to network sniffing. There are programs available that can be used to encrypt IM traffic, but these are usually separate add-ons. Information sent via IM is generally sent in clear text. With IM, you have to worry about information flowing in clear text, Internet links in messages, file transfers, and social engineering. But along with the convenience and ease of IM come many potential threats. If you use an externally administered system, then you don’t have to worry about managing the infrastructure. It allows immediate and convenient communication between two parties. Instant messaging (IM) systems can be very useful.

Derrick Rountree, in Security for Microsoft Windows System Administrators, 2011 Instant Messaging

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