Well the web shield does try to abort the connection, but if you happen to be using a download manager within firefox, that may well complete the download.
Since c.rar was only 154 KB, it is also possible that effectively the download was completed before any abort was effective.
Since this is a .rar file, it isn't automatically scanned by the file system shield (FSS), as archive files are inert until opened, the files extracted and any executable run. So before that were to happen the FSS would scan newly created files (those extracted) or before allowing them to be run.