Click to download pictures imbedded in email

Almost every email client is configured to not download images by default.  That is because images can be used by the sender to verify that you have opened their message, which is a privacy issue (let's spammers know you are an active email address).  So the prompt to download images you got was likely from your email client, not the sender, and doing so would not be a risk beyond this privacy concern.  As long as you did not open any attachment or click any actual link in the email message, you would not have been exposed to any threat.