That generally means that an anti-virus scanner on the mail server determined that the message contained something malicious. In such cases, the mail server will add text like that to the beginning of the subject. It may strip out whatever was identified as malicious, or may simply alert you so that you can make the final determination for yourself. This may have been your mail server trying to protect you, or it may be that he forwarded or replied to a message that his e-mail server had flagged.
In any event, whatever malware might have been attached to that message, if it even made it to your Mac in the first place, would almost certainly have been Windows malware, and thus unable to infect your computer. If it were Mac malware, it still couldn't affect you unless you opened an attachment, and at this time there is no known Mac malware capable of infecting a Yosemite system. So it's highly unlikely you have anything to worry about.