There shouldn't be anything on your system (so nothing will be found), the web shield intercepts and scans the content before it gets into your system, the act of aborting the connection drops the downloaded file.
You could email the webmaster@ that domain name.com, but if it is a rogue site all that would do is expose your email address and you may well get Greeks bearing gifts (Trojan horse email attachments)

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What you are doing is likely to be high risk, because there is an element of illegality (copyrighted material) in watching music videos without paying a royalty fee or paying to download. So if you got infected whilst downloading music videos you can't complain to anyone as you may be involved (unintentionally or otherwise) in an illegal act, unless those music videos were produced by the person doing the distribution.