after spending an hour or so recieving a file over msn from a friend, (an episode of anime, in AVI format) i went to open the file when a windows message appearing telling me that the file could be dangerous and that i should not open that kind of file, it then must have deleted the file since i cannot find it anywhere on my system.

Is there any way of restoring this file and stopping windows from f**king up my life even more in future