Thanks for your comment Pondus
I have scanned the file with virustotal as you recommended and it found no infection. Here is the link:
https://www.virustotal.com/es/file/a360c4b965d76f4597bf3d991241414d2b752ca3b84ac08ad5794f36a0d2a5cc/analysis/1496828957/

It’s strange. I was allowed to copy and pasted to another folder, and from that one I can delete it without any problem. However, when I try to delete it from the root HD Macintosh directory, finder asks me the password (which, as far as I know, it is only required for applications, and not for a textedit file) (?) (which I am reluctant to do until I know better what is this and why this has happened).
What can this be? Should I be worried?
Thanks