Well, you could create a small text file with Notepad and delete it to the Recyle Bin just to get something in there that actually appears when you open it, and then empty your Recyle Bin. In other, I'm saying this might clear the Recyle Bin of that mysterious item.
However, the fact that you're getting a message referring to 'WINDOWS' may warrant a more cautious approach here. What virus protection are you using? How about spyware removal tools?