It was most likely infected with Windows malware, which can't harm your Mac at all. What kind of file was it?
Macs are not immune to malware, but no true viruses exist in the wild that can run on Mac OS X, and there never have been any since it was released 10 years ago. The only malware in the wild that can affect Mac OS X is a handful of trojans, which can be easily avoided with some basic education, common sense and care in what software you install. Also, Mac OS X Snow Leopard and Lion have
anti-malware protection built in, further reducing the need for 3rd party antivirus apps.