Hey there chippie,
Welcome to Bleeping Computer.
Do you have an antivirus application installed?
Have you tried running a full system scan in safe mode?
This can be done tapping the F8
key as soon as you start your computer
You will be brought to a menu where you can choose to boot into safe mode.
Make sure you choose the option without networking support.
You may not be able to find the file as it is hidden.
If you set your system to show hidden files, you should be able to find it.
Please see here
if you're unsure how to do this.
You should also try installing Ewido antispyware,
I checked in the ewido fingerprints and apartently it is able to delete cool.exe:C:\WINDOWS\system32\cool.exe -> Trojan.Dialer.qs
If your running Win XP/2000, download and scan with Ewido Anti-Spyware v4.0
in "SAFE MODE
Print out the Ewido Install and Scan Instructions