Don't know if it will work, but have you tried "rm"ing it in Terminal?
Edit: I just looked at
the DetectX home page and found "
For MacKeeper, it is important to follow the instructions on Applehelpwriter for how to uninstall MacKeeper properly."
Have you tried that?
Edit 2: I just d/l'ed DetectX, and it found a "MacKeeper" file with a name similar to yours; I was able to move it to the trash (on my own) and delete it. Personally, I think the file was erroneously identified as a MacKeeper file, possibly because its name was similar to one, but its very minimal contents seemed innocuous, so I gambled. I also had a second such file with absolutely no contents which I deleted before running DetectX.