When you open a web page, Yandex.Browser checks it against its database of infected sites. If the page is found in the database, it won't load. The screen will display a message and the icon will appear in SmartBox. You can nevertheless choose to ignore the warning and visit a site with dangerous content.
Downloaded files may contain malicious code. Therefore, the browser scans all archives and executable files (regardless of if they are downloaded openly or in the background).
If a downloaded file contains a malicious program, the browser warns you and offers to delete the file.