In the future we'll likely add automated virus scanning, but that can only catch so many issues. For me, I try to run games I download outside of my regular user account.
Did this specific game try to do something malicious, or do you think it was a bug in the code? If you haven't already, you can report the game on the bottom of the game's page. We can forward your report to the developer so they can look into it. (Or if it's a malicious game we can remove it from the site)