which gave rise to the JRun error message, so be assured it wasn't just you!
I have no way of telling what this file might be, but if it's asking you to connect to anything don't do it. Delete it from the recycle bin and forget it. Are you running any anti-virus software? If not, I strongly advise you to get some as soon as possible.
click here and download the free version of AVG - it's an excellent application and will protect your computer from almost all the viruses out there.