What operating systems do you use?
As for the P2P Shield - it scans all the files downloaded by given programs. I think it scans them after they have been downloaded, not during the download (which would be rather hard... how to do such thing? Scan the whole file after each byte is downloaded? That would be terribly slow, besides, it probably wouldn't be technically possible. Btw, what do you mean by "as in real time scanning"?).
So, immediatelly after the file has been downloaded, the scan is performed; if a virus is found, you get the warning that you have downloaded an infected file (and you'll be given the usual options - delete the file, move to chest, ...) You don't have to worry about it - the scan is performed immediatelly after download, so you won't get infected in between. And even if you managed somehow to start the downloaded file before the scan (you'd have to type at the speed of light, but maybe you can
), the Standard Shield wouldn't allow the virus to be started.
I'm not sure about the support for gnutella etc. in Win9x - they are supported in Windows NT simply because the NT drivers have superiour possibilities, making it possible to achieve such a thing... maybe Vlk would have some more info.