file will damage your computer. You should move it to the Bin message. Screenshots attached to help remove the message.

Hi there!

Did you try restarting your Mac and then removing the files? Command-click (right-click on the file and choose "Remove immediately...") will remove the file completely, not just move it to the Trash.

Occasionally, malware can trigger these warnings. Use a trusted Mac antivirus app to scan your system. This could be Malwarebytes or Avast. MacKeeper also helped me remove malware multiple times.

You can also boot your Mac in Safe Mode and remove the files.

No one should trust MacKeeper. Ever.

Yes, I did read your link. MacWorld kept telling people it was great in their reviews, and running ads for it. Even when MacKeeper was more than well know for essentially being malware itself. In other words, money talks.

There are no viruses to detect on a Mac. None. Zero. Nada. It's a complete waste of system resources to run any AV software. The only true viruses they would find would be for Windows. Typically as email attachments. See my user tip for extended information:

What is malware? - Apple Community

A VPN? Garbage. Those are great for collecting marketing data on the user. Free or otherwise. The only VPN you should ever use are those your employer sets up to create a closed, encrypted data tunnel between yourself and their server. Any other use has no use at all since only the data between yourself and the VPN's owner can be encrypted. All other data out of the VPN and back to it for any site you're visiting is entirely in the clear, as if you were using no VPN at all. More reading:

Public VPN's are anything but private.

Clearing cache data? That serves to do nothing but slow your computer down until the cache is rebuilt.

Do yourself and your Mac a favor. Ditch that useless software and any subscription cost for it.

MacKeeper may be less scummy than it used to be, but it's still scareware. As is Norton, CleanMyMac, Avast and any other such junk.

That's because I wasn't replying to you:

But this is. Restart the Mac in Safe Mode to ensure none of the malware you've installed is active. Then remove the marked items, empty the trash and restart.

Not sure what that file is (could be digital file) but use the free app Malwarebytes and see if that finds the file then remove as directed. Do you have any digital file viewing apps?