Let us suppose that you were advised to delete file 'file.exe', which is actually a piece of malware. See here how you do it correctly.
(First of all all operations should be performed after enabling the Anti-Rootkit subsystem in AVZ.)
1st way. In AVZ Antiviral Toolkit go to Service - Process Manager, find and kill the corresponding process, then find 'file.exe' using AVZ File Search and delete it.
2nd way. In AVZ go to File - Delayed File Deleting, choose 'file.exe' and reboot.