Curiosity killed the cat and it can also invade your computer and result in a scammer getting access to your computer through malware such as a keystroke logging program that can read and steal all of the information stored on your computer, such as your Social Security number, credit card numbers and passwords. It can lead to you becoming a victim of identity theft. What scammers and identity thieves have been doing recently is leaving USB sticks in parking lots of companies that they wish to hack, hoping that people who work there will see the USB sticks and then curious about what is on them, put them into their computers at work and, without thinking, download the malicious software.
Never put a USB stick into your computer that you are not absolutely sure is clean. The risk is too great. Let the cat live.