If you downloaded the files from GD then GD zipped them together, if they was not zipped previous and you downloaded a zip file with all the files inside.

I assume, you downloaded a zipped file, and the GD didn't packed the files into a zip archive.
Why I think so?
Cos if you would download the pdf files, you probably won't select the exe file to download.
Am I right?
Conclusion: you definitively downloaded a zip file which was created from a person and not from Google.

So, you have the zip file on your local machine.
AV app's should scan zip files during the download or in the last moment when the zip file is saved to the hdd.
But not every time they do so.

In your case, I assume IE was crashing cos, when you opened the zip file, the AV detected the exe file, and then you took the opinion to delete the file, which means, these would be your background process to delete the exe file from the zip archive:

- open in explorer the .zip file
- delete the .exe file
Bacground process:
- unpack in some temporary folder the .zip
- delete the .exe BUT!
1. AV will try to scan the file
2. The OS will delete the file
- the remaining files which are .pdf should be compressed again in .zip file
Maybe the OS-delete run in collision with the AV scanning process, who knows...
Maybe Explorer run in some trouble cos of the archive algorithm. who knows...

So, everything is in game.
But, if you didn't run the suspicious .exe file then you are safe.

AV will not scan archived files which are password protected.
Some version of WinRar will just inform you about the problem other versions will not inform you.
Remember, password protected archives cant be scannad, or the infected .exe file can not be extracted without the pass.
But! Even such of password protected file can be ruined by a Ransomware, they don't care about the password.

Scan your PC with some AV, Malware, Rootkit scanner.
If nothing is found then you are probably fine.

My best regards.