Well, personally I would have to say that I do not think that watching a TV show, listening to an EVP, or thinking about the Paranormal is going to do anything or cause anything to be done to you in and of itself. But that being said, can it effect you, of course it can. Its the same old thing you hear every few years where the exposure predicates the action.
My take on it is, if you're worried about it best stay away from it. The fear or phobia of being susceptible to the paranormal could in itself cause weakness which some entities could exploit. The only thing that watching too much paranormal on TV could cause is an obsession which can eventually lead to exposure to something that could have negative effects on you.
Now as to the second half of this, do you have to believe in something for it to hurt you. No, I don't think that is a requirement. As a matter of fact I know several people who did not believe in the paranormal or anything dealing with paranormal who were forced to believe in it because it started happening to them. The first time you feel something cold staring over your shoulder you'll quickly become a believer.