If you download a file having malicious software, what happens next depends on many factors, including:-
1) Whether or not your system is running an anti-malware application.
2) Whether or not the anti-malware app is updated & properly configured.
3) Whether or not the malware is already recognised in the signature of the anti-malware app, or is part of a ‘zero day’ attack.
4) Whether or not your system has Data Execution Protection (DEP) set up.
(Please verify all of this, before seeking a full answer to your question.)