Has anyone else found this on their MacBook Pro? how can I remove it.
It's Windows malware attached to an email message. It can't harm you and you don't need to remove it. If you insist on doing so anyway, do not let your anti-virus software delete it. Locate the file in your Mail folder and open it. When you see the contents, you can search for them in Mail and delete the message that way.
A better solution would be to forget the attachment and get rid of the useless, time-wasting "anti-virus" product, which will almost certainly never protect you from any real threat.