its just a program that wont run, thats all.
from the looks of it, its a spyware thing that your antivirus/antispyware picked up and it deleted something that let it run.
not a big deal...
always remember: if its not broken, dont try to fix it
Run the installer and choose Install, indicating that you accept the licence agreement. The installer will place a shortcut on your desktop and launch HijackThis.
Click Do a system scan and save a logfile
When the Notepad window opens choose Edit -> Select All to select the entire log, and copy and paste the log into a reply post. Most of what it lists will be harmless or even essential, don't fix anything yet.