Have you scanned it with
Also load it on www.virustotal.com and see what it says.
What folder is it in?
I am scanning my PC for this file at the moment so will post back if I find it.
what Mcafee version are you running?
I found 5 or 6 different files with the name "cgm.exe". One of them is a valid McAfee file and is found in the %TEMP% directory. One is definitely malware. The rest are "unknown". So everything depends on where this file is found and what it's file size is.
The conclusion from www.virustotal.com was divided. From "trojan" to "not avirus" file.
It is in a folder called cgnew in my documents. I scanned with McAfee, but it didn't bother it.
I have SecurityCenter 11.6
McAfee may ignore the file but it's best to get a second opinion. Try a scan with Malwarebytes free version. If you have a subdirectory (folder) in Windows called "miner" then you've got BitCoinMiner. You'll know if you've got bitcoin mining going on, because your cpu will be active most of the time.