set /p myVar="Enter a URL: "
youtube-dl -x --audio-format mp3 --force-ipv4 "%myVar%"
In this video, I connected to a VPN to not only listen to the album early but also used youtube-dl to download the music before it's official release. If you do not specify --force-ipv4 in the command, this will not work. This could also be used to download videos that are also not available in your country.
This is why you should never download random exe files from the internet and run them. Please verify the source before you run a program.
I have created one to download a .gif of a fan and then copy it 50 times to the WIndows desktop of any user, but someone else, someone even more malicious could do much worse.