Yep...
Furthermore, if you don't have dedicated anti-virus program, you can always use this Google online virus scanner (uses more than 50, latest-updated, Anti-virus definitions):
https://www.virustotal.com/
Just upload the Zip file and it'll show you the result.
PBEM games are only transferring two files specific to WinSPWW2 anyway (CMT and DAT files, if I recall correctly), so no Windows system files or executables and such thing. If there is, delete it and ask your opponent to resend a clean file.
Re: online play??
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