It's not a Windows file. It's a virus/spyware file itself. You can delete it.
If you have tried to delete it but you can't, try opening Task Manager, then under the processes tab, see if you can find msprotect.exe. If so, highlight it, then click End Process. Confirm stopping the process.
Then try to delete the file again.
Also, click Start, Run, type msconfig and press Enter.
Select the startup tab. If you find any reference under the Command column (you may have to expand the column to see the full path) to c:\windows\system32\msprotect.exe. If you can find such a reference, untick the box and click OK.