I moved this to Malware Discussion > Home User Assistance.
Where are you reading it's malware? download.exe can belong to several different things and in any case, no antivirus is 100% guaranteed to remove 100% of what's out there, especially if it's adware, which I suspect this ma be.
Run AdwCleaner and Malwarebytes Free - both linked in the last link below. Read how to keep Malwarebytes free of charge there too.
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Also post the file to www.virustotal.com and see what the other scanners say