Finally, after a lot of searching I managed to delete the kaspersky4win folder (on the virtual machine) aslo the $recycle.bin folder that shouldn't be there with a little program called "file folder shredder 1.1" and worked like a charm.
I did it and on my main machine and also worked as it should.
Maybe in the future it will recreated the kaspersky4win folder but for now it's gone.
PS: the pic is from the virtual machine windows as it is the pic on my 5th post.
Jonathan95's post in Weird Kaspesrky Folder on EFI Partition was marked as the answer