You did the right thing in not downloading it, this is a scam and the only thing wrong with your system is likely to be this rogueware.
Apart from the fact that deletion isn't really a good first option (you have none left), 'first do no harm' don't delete. It would have been better if you had first added it to the User Files section of the avast chest and then deleted the original. Since it was in the system32 folder, if you had system restore enabled then it is likely that a restore point was created and a copy of this file (now with a different name, like A0001234.exe, etc.), so you may not have completely removed it.
A new tool RogueRemover, available here
http://www.malwarebytes.org/rogueremover.php, this is designed for these type of rogue programs and is worth running just to be sure.