Paint.NET is a legitimate program, and one which is frequently recommended in these forums. I downloaded a copy from download.com, and while I don't have Prevx my own scanners found nothing after the download or during installation. Turning to Prevx, I searched their database and found one match, but it clearly identified as "Safe, this is a software installation utility." Thus, I consider it a likely false positive and notify Prevx technical support. They can look into it and either confirm the alert or release an update to resolve the false alarm.

As to the problem of editing your pictures, Paint.Net likely reassociated the file types with itself so that they open automatically with the new image editor. Since the installation didn't complete it can't open the files. If you opt not to complete the Paint.Net installation you'll need to right-click one of the files, select Open With, and choose the program of your choice from the list, being sure to check 'Always use this program to open files of this type' before clicking OK. You'll have to do that with each file type. (JPG, GIF, BMP, etc.)

Finally, what program displayed the final alert message to remove your hard drive? Prevx may have displayed that as a precaution or it could have been your computer identifying your hard drive as failing. (See the S.M.A.R.T technology.) It's important to know which one it is in case there is a problem.

John