If anything bad happens, please let me know.

Literal

By-chance something bad thing [subject-が] happen-[conditional-たら], me [to-に] inform-[polite request-てください].

何か悪いこと ('something bad,' literally 'some bad thing') uses the indefinite 何か ('something, anything') combined with an adjective modifier. 何か is built from 何 ('what') + か ('question/indefinite'), a pattern that produces indefinites across the Japanese wh-words.