No, normally (on a mac anyway) when you click no, it will shut LW down & the dwnlding will obviously stop. If for some reason it's ending up in your dwnld folder then there's something wrong! However, if you click no b/c you're confident it really is corrupt, then you should go to your LW Lib window & delete that file from the list just to be sure there's no trace remaining of it (make sure you choose the correct one.)

But be aware, that some dwnlds are corrupted b/c it's corrupted at its source, but hen some files b/c corrupted during the dwnld process - this is where LW can recover the missing parts & you end up with a healthy file. So not every file you receive that message with is going to be truelly corrupted b/c the person who was offering it was offering a corrupt file. Sometimes a mishap suring the dwnlding process can occur. The best way to find out is to dwnld it twice, if it's corrupted the 2nd time then it is most likely corrupted at its source.