Problem deleting file

I had previously downloaded some files which turned out to not be what it claimed and unfortunately in one has been able to provide me of a solution to remove this files. When i attempt to drag the chosen files into the Trash it clearly states 'item can not be moved to trash because item can not be deleted'. Now this is no ordinary file, it provides an icon onto my desktop with all the files inside that i wish to delete. Once i drag the desktop item into the trash the icon disappears and yes the items successfully relocate to the trash, however as soon as i open a folder (Finder) the desktop item reappears with all the files and leading me no solution to this problem at all. After the icon reappears back onto my desktop when i open library it shows the application separately to my macintosh HD which i find absurd. It has often appeared as a external source, like a memory stick or so.

I am rapidly loosing hope in deleting this Application/File and i am not entirely sure what to do because i cannot find any help online by surfing the net. I have read that i can delete files that cannot be deleted in Terminal with the sudo rm -R command however when i drop the file in shortly after typing this command it asks for a password, which then doesn't allow me to type anything in at all.

if anyone can provide me with any sort of information in order to get rid of this file, virus or whatever it is i would be highly appreciative