There used to be a danger in downloading and running content locally in Internet Explorer 3 and earlier. Microsoft introduced Mark of the Web in IE4 that would make a locally ran website run in the security zone context from which it had been downloaded rather than in the context of the local machine (think
file:/// rather than
If you are printing the current page to PDF you should be fine. There is no extra danger of things executing as the browser is only printing what it already has rendered.
Regarding other files, this depends on how you are doing it and the maliciousness of that particular site you are downloading from. If you are using some sort of spidering tool a malicious page might reference a link to a trojan in the form
<a href="page/trojan.exe">Click Me!</a>. Although these links are now treaty more securely so you shouldn't be able to execute them without a prompt, you would still be downloading the executable to your machine. Try to be as careful as possible and review whether the particular method you are using to download would be vulnerable to this.