Hmmm...i think i gotz a new virus...

ESET sent a file in for analysis....Though the problem is...it's not a file...it's a website! How can i have a website with no directory saved to my computer, and it be a Trojan? I've ran a scan with ESET, MBAM, Clam AV, and SuperAntiSpyware...Nothing detected... Should I be worried?