If this is a Web Shield or Network Shield alert, they are in fact blocking access to your system, so the file isn't downloaded to be run, etc.
So you should be good to go, you could if you wish run an avast scan and or an alternative scan with either MBAM or SAS.
Now you have 20 posts you can modify your profile and add a signature, give basic information on your system and what security software you have installed, AV, anti-spyware, firewall, etc. Look at other posts with signatures and use them as a guide. It can help us to help you by giving more detailed information based on your system.
My signature is probably too much as I have listed other useful programs that I use.