That is the idea of the web shield to block the malware before it is allowed to run on your system.

Though I would have thought it wouldn’t have even got into the temporary internet files folder.

I would clear the temporary internet files cache from your IE browser setting but that should be all that I think you need.

You can run an additional scan as a secondary check - MalwareBytes Anti-Malware (MBAM), On-Demand only in free version http://download.bleepingcomputer.com/malwarebytes/mbam-setup.exe, right click on the link and select Save As or Save File (As depending on your browser), save it to a location where you can find it easily later. Download, Install, Update, Run and post the contents of the log.