is it possible for windows viruses when downloaded through ubuntu affect my windows os

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http://askubuntu.com – I know that Ubuntu is immune to virus so there is no question of it getting infected while browsing the net.however i frequently transfer files from my pendrive (which i get from other virus infested computers) to my own laptop and save it on the data drive which is shared by both windows and ubuntu.i would like to know if there is a chance for windows viruses which might get saved and then infect it whenever i switch to windows later on.its ironic that i scan my pendrive using avast on windows and then save all my files to my hard drive to keep my laptop free from virus eventhough i have ubun (HowTos)