Same I don't get it...When was the last time you executed a new (as in just downloaded) program on your Host when you didn't have an internet connection?
Personally if I lose internet connection I don't use my PC because the majority of things you do a computer require an internet connection. Unless the malicious file is on your Host whilst you've lost internet connection then you're fine. Also the thing with VoodooShield is you're not really meant to run it on it's own - it's a program you run with other security products to boost security so in theory if you have a decent AV product then you'll still be fine.
Since you have no internet connection anyway you cannot download any files, the malicious file cannot communicate with any other server - so it cannot for example download any other malware. You also still have to execute the file yourself - physically click on the file to run the application & even without an internet connection VoodooShield will ask you if you want to Allow or Block the file. If you are sensible you want run the file whilst you have no internet connection, you will go and sort out your internet connection issue first