To my knowledge if you are not providing more information, you are going to get replies only to scan for spywares and viruses, coz we can not help more than that really.
Try if possible to provide with any other information. what is the name of the file created. does it give any error when you try to delete it. or does it appear after refreshing.. any thing which will enable us to recollect if it has happened to any of us or have loooked somewhere.
Also, I would request you to run
Hijack this and run it and save the log file and paste the contents here. It might help to see if your system is indeed affected with malware.