That would depend on how you download it, if using a download manager with the setting to scan a file when the download is complete and you have entered the path previously given. Then Yes it would be scanned, as would it with standard shield set to High as also previously mentioned

If you use your browser or an ftp program then No web shield wouldn’t scan it, as it isn’t using the http protocol. It would be scanned with standard shield set to High as also previously mentioned (newly created or modified files depending on sensitivity settings are scanned).