I'd contact Apple support — they might be interested in seeing that jpeg.
As for removing it, where's the file? On your desktop? If so, launch Terminal.app from Applications > Utilities and enter the following command, here assuming that the filename is BadFilename.jpeg. The following command will delete the file immediately.
rm "~/Desktop/BadFilename.jpeg"
Those are (and must be) vertical quotes and not smart quotes.
If that doesn't work, then find out if there are any add-on anti-virus or anti-malware tools, any cache cleaners, performance optimizers, disk-savers or other similar packages around, remove those per the vendor instructions, reboot, and try the delete again.