Unless it is a particularly nasty Trojan virus, just deleting the file should take care of it. More than likely, it was a file with some abnormality that the virus scanner picked up as a possible problem. If not, as long as it was caught quickly (why we have scanners running constantly) and not activated or opened you should be fine.
Viruses can come from any number of places, and the creators of them are getting better and better at hiding them. The ones you hear about in the news are self-replicating. They will send themselves to everyone in an address book and reproduce exponentially. Most of the time the person "sending" the virus doesn't even know it was sent. There are also a few out there that can get you just be being on the wrong site, clicking on the wrong banner, etc. Most of the time these are on porn sites
but sometimes hackers will get into legitmate sites and infect banners and such. The company doesn't even know it's been hacked since the content never changed.
And then there are the virus hoaxes that get passed around the internet through email. Some jerk who knows Windows will find a file that is pertinent to running the OS with an odd name that most people wouldn't recognize. They start the Virus Alert emails, telling of the "fix" which involves deleting said important file. Well meaning people email it to all their friends and family after they find the "virus" on their machines. They then destroy their own computers by following the "fix." That's the lazy way to create a virus.