If you "NEVER" opened the picture it's strange that it causes a lagging effect on you machine performance, as any virus/worm in a picture only executes its code if you OPEN the file.

You have to look at your file association in windows, because the picture to open needs to start the associated application before, meaning that if you have a "heavy" associated application like Photoshop you will only see the picture after you open Photoshop and it will show you the image, and this will take some time.

But this only happens after you click to opened the file (one or 2 clicks, depending on your setup).

Otherwise, any virus/worm you may have came due to the normal connection, and as you say you have a protected machine.