I, too, cannot delete "jwgkvsq.vmx".
I understand that this is a Windows worm. It may have landed on my Mac [now OS X 10.8] when I was using Windows via Parallels. (Parallels is now removed from my Mac.)
My experience notes:
1) I use Sophos for Mac anti-virus program, which identified the malicious file and moved it to quarantine ("Infected") folder. Fine. It's presumably now unable to function, even if it was ever able to function on the Mac, which (presumably) it was not. I still don't want this thing on my Mac at all.
2) The file is invisible unless I use "EasyFind" to reveal it.
3) I cannot delete the file. Nor after disclosing it can I open "Information" for the it. Accordingly, I cannot follow the instructions previously suggested in this thread.
How to destroy / delete the file?