A downloaded file is not automatically proof that your device has been infected, but a suspicious download should be treated carefully until you know what it is.
Do not open, install, or run the downloaded file. If it is already open or running and you suspect malicious activity, disconnect the device from the internet where practical to limit further communication.
Run the security checks available on your device and look for unusual applications, browser extensions, processes, or other changes you do not recognize.
If you entered a password after clicking the link, secure that account as well. A suspicious download and a stolen password can happen together.
If you notice clear signs of compromise, continue with the computer-infected guidance rather than assuming the problem is only the downloaded file.