This sounds like the web shield provider, it scans pages that you are browsing before you actually see them, if it detects a virus, etc. it stops it and displays the warning asking what to do. In this case abort the connection (page/file that is being downloaded), when you abort the connections that data isn't downloaded, it doesn't get on your hdd.
So you won't find anything on the hdd and you should stay calm, but more importantly read the avast help file to learn more about avast and get the best from it. This is obviously best done before trying to deal with an infection when calm is often the first thing to go.