Kaspersky picking up a file that doesn't exist.

[BigHotStud]

I ran an "application vulnerability scan" using Kaspersky today and it found a file in the "C:\MinGW" directory that it couldn't process. I had MinGW installed at one point but, from what I know, I completely uninstalled it. There's no environment path for it and the folder is never in my "C:\" directory. How did Kaspersky pick it up? Is it something to worry about? How do I remove it?

EDIT:
I ran another two vulnerability scans and neither of them picked up the file again. Was this some sort of bug or is it something to worry about? For context, I don't ever remember using the vulnerability scan feature apart from now.

Edited October 25, 2022 by BigHotStud
Added more info

[Igor Kurzin]

 Hi @BigHotStud, 

If you click More Tools -> Reports -> Scan -> find the 'not processed' event for a file in C:\MinGW folder -> click on it -> make a screenshot of what shows in a section below with details on the event and post here. 

The folder is not hidden? If you press Win+R and then type C:\MinGW and press Enter, will it open up anything?