luis,
Avast will not delete or move the file because it is an embedded exe file which you have not apparently opened.
You can follow the path in the error message to the file and delete it manually.
It puzzles me that you said you had a keylogger. Keylogger are not usually downloaded but INSTALLED at the user end. Does anyone else have access to your computer?
Avast should give you excellent virus protection.
I recommend downloading Adaware SE Personal (the latest edition) from
www.lavasoft.de which is an excellent manual spyware scanner.
Good luck