What do you mean by privacy? If you mean like other people you may live with/come across having access to your data, the best solution is having an encrypted drive/partition. No DE or standard login is going to stop a determined threat actor from just pulling out your storage device and reading off what’s on there.

yes, it’s mostly things like games or software

though, I have seen more & more reports of people finding malicious disguised LNK files in their downloads and torrents, which will run some arbitrary command if you open that: Windows does not ever show the LNK extension, so a file could be named “.mkv.lnk”, and you would only know if you checked the “file type” column in Explorer (which would read “Shortcut” instead of something like “Matryoshka file”), or when you see the cmd.exe window flicker open and close.

bonus edit: LNK is the native file extension that Windows uses to link app shortcuts, such as the shortcuts on your desktop.