http://www.snopes.com/computer/virus/jdbgmgr.htm

Check out the above site. Here's the explanation for what you found:

Origins:   Like the SULFNBK.EXE hoax, this bogus virus warning (also known
as the "Bear Virus") attempts to lure gullible users into deleting
perfectly innocuous, standard Windows files from their systems.

In    this case the target file is JDBGMGR.EXE, a Java Debug Manager
program used by the Microsoft Java runtime engine. This file is included as
part of a standard Windows installation and is not a "virus." (The icon for
this file is a graphic of a bear like the one shown to the left.)

If you deleted this file, don't sweat it -- JDBGMGR.EXE is only important
to programmers who use Microsoft Visual J++ 1.1 to develop Java programs.
Its absence will not cause your PC to stop working or interfere with your
applications, so if you're not a Java developer, you don't have to worry
about restoring it. Consider the experience a lesson learned about the
perils of believing and acting upon unverified e-mail warnings.

Windows 2000 and Windows ME include a Windows File Protection (WFP) feature
that will recover shared files such as JDBGMGR.EXE if they are overwritten
or deleted. Users of other Windows operating systems can only retrieve
JDBGMGR.EXE by reinstalling the Microsoft Virtual Machine (VM) component,
but Microsoft is no longer offering it as a download.