Insite Safe download report?

I get these messages i_never_heard_of_this-whatever.exe  that I never downloaded "is safe".

 

Then the message disappears. When I search Windows Explorer for i_never_heard_of_this-whatever.exe I get a message that it can't be found.

 

If I could get that Insite (is that  the correct term?) report back it should lead me to that file.  Are those logged anywhere?  Can I prevent these unexpected files from downloading until I accept them?

 

Richard