Open file security warning?Trojan Virus?!?

I have a problem with an application I have downloaded and deleted afterwards. Everytime my laptop starts, there's always a pop-up that will come out of the desktop. It is named "open file security warning". And there's the application that I have deleted. I will have to choose if I'll open it or not. It's so annoying because I'll always have to click cancel. And whenever I click open, my antivirus will detect it and the recommended action is move to chest. I searched for that file on the indicated folder where it is located. But I found nothing. I scanned the hard disk drive using avast antivirus and nothing were found. Please help me!!! How to disable the f***ing and annoying popup? Thanks. :(