No, it is a virus...W32/Dumaru. Apparently the file itself was removed but the entries calling it were not fixed. You must update your anti-virus program constantly if you expect to protect your system these days.
See here for a description and removal instructions:
http://www.symantec.com/avcenter/venc/data/w32.dumaru@mm.html
and download the Symantec removal tool:
http://securityresponse.symantec.com/avcenter/venc/data/w32.dumaru.removal.tool.html
See also:
PC Hell: Dumaru Worm Virus Removal Instructions:
http://www.pchell.com/virus/dumaru.shtml
http://vil.nai.com/vil/content/Print100560.htm
http://us.mcafee.com/virusInfo/default.asp?id=description&virus_k0977
http://www.sophos.com/virusinfo/analyses/w32dumarua.html
http://www.bitdefender.com/bd/site/virusinfo.php?menu_id=1&v_id3

Signature
Glen Ventura, MS MVP W95/98 Systems
http://dts-l.org/goodpost.htm
> I have lost the file "C:\WINDOWS\SYSTEM\vxdmgr32.exe or
> the computer and me both can't find it,i know it is a
> device driver file but "What"? Is it real critical or not
> and what operation does it pertain too? WINDOWS 95