Maybe yes, maybe no. It depends on the bug, and how it is transmitted.
Is there anything specific you have in mind ?
If playing on an 'official' server the chance is very low, but if playing on LAN the chance is a bit higher.
I assume you are asking theoretically, and not intending on joining in with someone who can't be bothered
getting rid of some nefarious bug.
- Of course having an Anti-virus, and Windows Firewall running in real time all the time is going to be a big help,
but you should also have a strong password on your modem/router, as these are being exploited more
in recent times.
I sometimes run a cross-check with Malarebytes or Spybot Search and Destroy as well, but run only one
security program in real time, as more than one can cause conflicts or bog the machine down with too many
checks being run in the background.
imo - The best protection is due care and diligence, without getting paranoid.
- Many (most ?) malware/virus get activated when you click on an executable from something you download
from a suspect web site, particularly torrent downloads, or via things that you 'open',
such as an attachment in an e-mail (particularly spam email), or perhaps a zip folder.
- There are a number of 'free' programs such as registry 'cleaners' , .dll 'fixers' and system 'optimisers' that
will install spyware and other potential low level malware, so they should be avoided.
- Theoretically, downloading video could also pose a danger (as it is an executable of sorts), but watching
video or gifs should not be a worry.
Doing screen captures of clips and gifs would be safer than downloading, as you should not pick up any
hidden code when recording.
- Malware/virus danger does get a bit over hyped at times, and even the best AV's will show false positives now
and then (but not so much in the past year or two in my experience with Avast ).
I've personally, in over ten years have never had a problem.
.