From what you describe, the file is probably an orphaned startup entry. Windows is trying to load this file but cannot locate it. The file may have been removed but there is still a registry entry that is telling Windows to load it when you start up.
When Windows loads, it looks for any files associated with registry entries for programs that are set to run at startup. If the file was removed but not the entry, Windows will display an error message indicating that the file was not found. You need to remove this registry entry so Windows stops searching for the program when it loads. To resolve this download and run Autoruns
, search for the related entry and then delete it.