Why? Because they are going to do it regardless of whether or not you teach them, and if you don’t teach them properly, there is a good chance they will download malware or at least the wrong software.
To back up, my son was complaining last night he could not download some software for his computer. He had gone onto Google, entered “download software XYZ” and clicked on the first thing at the top of the page. Now often times the first thing is NOT what you want: it is some company that purchased the right to show up first. I told him to instead look at the URLs that are displayed, and look for the company name in the URL. I told him to be careful about what you click on. (The software he wanted was on the first page of the search results, but about 3 or 4 entries down.)
The safest thing is to always have them talk to you before they download something. Or you email them a safe link instead of them clicking on what shows up in Google.