DavidR
4
Well the web shield (and inbuilt Network Shield) would have alerted if A) it was on the malicious sites list or B) if the web shield found the landing page to be infected.
So it is somewhat strange, if that .exe was downloaded from another site (driveby download) then that site too would have come in for scrutiny (as outlined above).
There may well be links on a page to .exe files and unless you select save as (rather than just click the link) or you could be actually running it rather than specifically downloading it. I think that the deepscreen would almost certainly pop of when running an executable directly. Now that would be regardless of if the file was infected or not.
The file should also have been scanned by the file system shield.