Yes you have learnt a lesson - Deletion isn't really a good first option (you have none left), 'first do no harm' don't delete, send virus to the chest and investigate.
First we really need to know the file name and the malware name given by avast ?
avast doesn't do anything special when you tell it to delete, but it doesn't send it to the recycle bin, as guess what, avast would alert with it in the recycle bin. Recovery programs should be able to recover files even if they weren't sent to the recycle bin, but the sooner you use it the more chance of success. However on recovery, guess what, yes avast will alert.
It isn't unusual to get errors such as "Could not run xxx, can not find file; c:/users/xxx/application/xxx.dll" because there may simply be a registry entry left behind that is trying to run that file, but we need to know more about the detection to make any determination.