A serious question: what’s wrong with pirate bay? I have been using it to download movies, shows and language learning content for over a decade, and I never had any problems.
Those aren’t typically risky media. When you’re downloading games though, you’re downloading executable programs. You can do some serious damage if you execute the wrong things. You’re not executing a mkv or a pdf, you’re only reading it.
You’re not executing a mkv or a pdf
You’re half wrong and half right, .mkv files are completely safe but the same can’t be said about .pdf files, attackers can embed malicious code, such as JavaScript or hidden executables, within a PDF file.
People really underestimate the capabilities of this .pdf file format. I remember some time ago, someone managed to run doom inside a .pdf file.