It scans as you download onto your hard drive and if it detects anything it will tell you so. The Quarantine folder is in the interface > Navigation > Quarantined and Trusted Files.
It scans once the file is downloaded (it can't scan a file that does not yet exist), but before it can be executed.
Malware which you have not clicked on or run the code is completely harmless - a bit like a book you've not yet read. It's just sitting there doing nothing.
Adding to that the file that is currently being downloaded does not have a specific format. So Technically a file is said to be present only when it is downloaded completely. Files that exist as a result of Incomplete downloads are dormant/corrupt and shouldn't do any harm.