The web shield page is just reporting the last file scanned, the last infected file found, etc. they are just stats. What you should notice is that the location of the infection is an internet URL, meaning as oldman said, the web shield intercepted a file on the internet and stopped it from being downloaded to your system.
You will have received an audible and visual alert and the only option on that alert is abort connection (see image), e.g. drop that download (not your whole internet connection), so the file shouldn't be on your system.
