I'd like to know if there is some setting I have to change. i left all the dafault ones. But I'm still kind of anxious. I know it was harmless. But what if something serious will be detect? :'(
Indeed strange that after the 'abort connection' the file is there but, maybe, the second window for download file was in a secure connection (HTTPS).
Two messages could not be related. I mean, WebShield detects and abort a page load. Other browser window, other connection, made another download, clean (maybe).
The best will be a full avast scanning (archives included).
If you can, you should schedule a boot time scanning with avast.
And, the last, I would recommend Ewido and A-squared as trojans/malware free detectors.