Presumably you are talking about the web shield detection, see image, is this what you mean ?
If you choose Abort Connection, the file is usually discarded and blocked from being saved (there are some weird exceptions) but why in the world would you want to open a file flagged as a worm, etc.
If it did get on your system then you would likely get another alert by the standard shield and the safest option is 'Send to Chest' (Quarantine).
