How much should I worry about these messages?

This is very common, it is a malicious query string most likely (99% time) done by a bot, I think option=com_simpledownload is actually a Joomla plugin, so obviously it won’t effect WordPress.

You can see the detials here, http://web.nvd.nist.gov/view/vuln/detail?vulnId=CVE-2010-2122