The file location shows that the Trojan is detected now but wasn't detected at some earlier time. It got backed up automatically, so you've got an infected Restore point. If you don't know which one is infected - and there could be more than one - you may have to delete them all. The alternative is to start with the oldest and delete a few, and repeat until the message no longer appears.
The full directory path may not now exist. "Appdata\Roaming" of course corresponds to XP's "Application Data" and is Hidden.
The AppData\Roaming folder ... is the same as the Documents and Settings\username\Application Data folder in Windows XP.
You'll have to select 'View hidden files and folders' to see it.
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Thank you for bringing this up to our notice. It does seem malicious. We strongly recommend you to submit the file for analysis once you have located it on the affacted machine. Sample submission processes are explained here:
E-mail method should be suitable here.
Thanks for the suggestions, I appreciate it. I was able to locate the folder but not the file in question so I am unable to submit it for further analysis. However, I restored my previous system image, performed a full scan and then did my weekly backup and all is well.