Malware

I am running Windows 7 on Fusion (6.0.4) for Mac (10.9.4) and in a moment of stupidity DLed a video that likely had malware. When the DL completed the file self executed and disappeared from view. So 2 questions:

• If I choose a snapshot from before the DL will that eliminate the malware threat?
• Can the malware move from Win 7 to my Mac or is it walled off? (I assume as long as I don't run Windows there is no threat)

I'm just technical enough to be dangerous and no I was not running an anti-virus program when the file executed.

Many thanks for any thoughts. BTW - I'm just technical enough to be dangerous.

Kurt