We call this Backdoor or RAT (remote administrator tools)
Cracker can connect to you and to take full control on your compute.WIll gain access to every point of your compute.
So.. Dont take any files from insecure person/site/even game.
You can check who is connecting to you with the command:
Netstat (type it in CMD)
Or check the firewall log and you can block the IP who connect to you..