/.MobileBackups/ is a special folder used by OS X to store temporary backups while away from Time Machine, you shouldn’t tinker with it and the files get deleted automatically, the permission denied comes from the fact that the system does not allow that folder to be changed. After the next TM backup the MobileBackup will likely get deleted. Anyway, in my opinion, you shouldn’t really worry about this, this is not an infection, it’s just a backup of a previous state of your Mac.

In fact, let me add that the file in question is an .exe, it’s probably a Windows virus but it cannot infect a Mac, Macs don’t execute .exe files. Avast! also detects Windows viruses and this is apparently something you downloaded for Windows.

EDIT: It’s also possible that the operation is denied because the file no longer exists.