That’s avast Sandbox at work. You’ll know something is running in sandbox when there’s a red outline on the application window.

The avast! Sandbox is a special security feature which allows you to run potentially suspicious applications automatically in a completely isolated environment. Programs running within the sandbox have limited access to your files and system, so there is no risk to your computer or any of your other files. This feature is connected to the FileRep cloud feature which identifies new files for additional analysis. So now we are able to warn you even before we have had the opportunity to examine this malware in our Virus Lab.

As the file was run in sandbox (which is isolated from all your files) then it shouldn’t have infected your system. Also, files created in sandbox are deleted once the sandboxing operation is completed so it’s likely that you won’t find the *.exe file anywhere on your computer.

More info: What is the avast! AutoSandbox and how does it work?