.exe files found on my Mac

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Yesterday's scan found a number of infected files on my back-up drive two of them Malware .exe files which surely shouldn't be on a Mac, and yet I can't delete them.  Anybody know why this is?  The rest were adware which may or not be relatively harmless.

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Deleting files from a Time Machine backup should be made using the TM Interface.

http://www.macobserver.com/tip/2008/11/05.1.shtml
(the article is old and refers to Leopard, but it's still the same in Yosemite)