N1 Peterm, just what I was thinking.
If I may. After you've found the locations as peterm has described to look.(if more than one)
1. Start<Settings<Control Panel<Folder Options<View< de-select "hide extensions for known file types", click apply, then okay.
2. Load an old Win98 bootdisk, get the command prompt up.
For you h3i,
3. At A:\> type "del C:\Documents and Settings\Mike\Desktop\CAVU4BBL." (the extension should be visible now.)
For you Marc,
3. At A:\> type "del C:\Documents and Settings\Marc & Grace\Desktop\CA496V8T.
A:\>del C:\Documents and Settings\Mike\Desktop\CAVU4BBL.blahblah
A:\>del C:\Documents and Settings\Marc & Grace\Desktop\CA496V8T.blahblah
Don't do a dir on it, just do this and see if it remains.
Tap F8, get the advanced menu options, and select "command prompt" do as above.
If none of that works, you said you know where this file came from? Reinstall the application, or savegame to where it was originally, delete the file, then delete the savegame.
you might also want to send us a HJT log to look at.