You find a suspicious folder on your computer or removable hard drive which is a long string of numbers/letters and the folder contains the files mrtstub.exe and / or mrt.exe._p and some hidden files such as $shtdwn$.req
These files are the leftovers from when the Microsoft Malicious Software Removal Tool was run. Normally the folder is deleted automatically, but if the program was stopped in the middle of running or due to some other unexpected system behavior the files may remain behind. You can delete this folder / files.
For more information, see Microsoft’s article on the subject. In particular the section which states:
How to remove the Malicious Software Removal Tool
The Malicious Software Removal Tool does not use an installer. Typically, when you run the Malicious Software Removal Tool, it creates a randomly named temporary directory on the root drive of the computer. This directory contains several files, and it includes the Mrtstub.exe file. Most of the time, this folder is automatically deleted after the tool finishes running or after the next time that you start the computer. However, this folder may not always be automatically deleted. In these cases, you can manually delete this folder, and this has no adverse effect on the computer.