A dangerous security hole exists in Warcraft 3 which allows a malicious map to execute arbitrary code (meaning, it could put a virus on your computer) when you start playing the map.
For your own safety, you should be careful to download Warcraft 3 maps only from trusted sources until this security hole has been fixed. If you join a game where you already have the map and find yourself re-downloading it, you should be especially cautious.
Blizzard has a statement out on the situation:
Warcraft III Custom Map Security Warning
We have identified an exploit that could allow malicious software to be spread through Warcraft III maps. We have applied a temporary fix to address this issue when playing on Battle.net, and we are working on a patch to permanently address the issue when playing on a LAN or playing single-player custom maps. In the meantime, we recommend that players avoid downloading maps from unofficial sources or websites they do not trust -- be aware that corrupted maps may share the same name as other popular maps. If you encounter custom maps that no longer function or other issues related to this fix, please post details below.