Oh, that is a virus file name...not part of windows.
Basically the antivirus deleted the virus out of the computer but you still have strings in your registry telling it to start up. So, when you booted up the computer and the file doesn't exists; there go, the message appears.
You need to modify the registry that is shows in this screen and delete the entries ThreatExpert Report
in this website.. it will say Registry Modifications