The aborted connection should stop it being downloaded to your system so you should be ok.
I tried to check that link using DrWeb extension and get an error:
Can`t fetch file pointed by your url. This may be caused by several reasons:
* Remote file is not available (not found, requires authentication, permission denied)
* Remote site is down, or very slow, or busy
* No network connectivity between Dr.Web online server and remote web-site
So it is hard to say if it was a correct detection or a hiccup.
For the future though, please don't post active links to suspect locations/urls, break it up or use the code tag (# hash icon), e.g.
http://rad.microsoft.com/ADSAdClient31.dll?GetAd=PG=CMSIE3SC=F3AP=1164.
Or http :// rad.microsoft.com/ADSAdClient31.dll?GetAd=PG=CMSIE3SC=F3AP=1164 that way we avoid accidental exposure for the curious.