If I download zip, rar and exe files on my HDD and any of these files are saved in a bad HDD badblock sector and after that I try to burn the files to DVD what will happen?
I gather you are talking about Bad sectors on your HDD, if you have bad Sectors you could lose/corrupt data that is in those bad sectors.
See here How to Block Bad Sectors on your HDD
Hope that Helps.
Depends on the HDD and its firmware, it could get stuck while trying to correct the defect sector with its ECC data, it could get skipped after a while leaving some dummy data being written. Impossible to say.
If the file is saved and is located in a bad HDD badblock sector, is it normally burned on a DVD disc?
Did you even read Oinker’s reply?