That is Windows malware, it cannot do anything to your Mac operating system. You might have downloaded it into your browser cache or one of your external drives if you are careless when you browse. Or if the drive was used on a Windows machine, it might have come from there. You can download a program that you can run for free called Malwarebytes to see if it detects the Expkit and deletes it. But it won't affect your Mac.
https://support.apple.com/en-us/HT210650 Catalina is a resilient OS because the operating system runs on a read-only disk that is not even normally visible to users and cannot be written to or modified while you are normally operating your computer. This makes it virtually impossible to plant a virus or similarly harmful software in your operating system.
You should completely uninstall Intego or other anti virus software you may have installed, those programs embed themselves and can conflict with and interfere with the normally very robust built in Mac OS security processes. Also in the future, when you make MacOS system updates or upgrades, the Intego software may interfere, many users have posted in these forums about just that, some of the problems they have reported from such intrusive software has been very serious.