no, you shouldn't be concerned. the connection was aborted by the web shield in memory so there's nothing on your disk. Just as a precaution, you should still clear some private data in your browser, cookies, cache...just to make sure you don't get a redirection to any bad site for instance. You can also use CCleaner for that. But again, if as you said the connection was aborted, you don't have any infection in your system.