If I down load a program but do not open it and it contains a virus or worm am I infected from that point on or can this only happen once I open the program ?
Short answer no.
Longer answer, it depends on how it was initiated, some drive-by downloads where a use clicks an action to download say a free screensaver (one at common risk of malware), there is nothing to say that this was the only thing downloaded.
The web shield should be monitoring such downloads if they are using port 80 and HTTP protocol. The avast on-access scanner should still scan it before you run it, so there is another level of protection.