Unknown file installation causing problem

I am quite responsible for the problem I caused. I know we are not supposed to click email attachments with .exe extensions but out of curiosity I did and nothing happened at first. But as I restarted the computer, I saw several apps partially missing. Their icon and start Menu entries are still there but the applications are not. If I click any icon it says that the file is missing. The missing apps include my antivirus which is AVG free version. I reinstalled it and scanned but no threats were found! Moreover as I restarted my computer it again went missing. I installed Avira antivirus but it cant detect the threat. How to remove the threat?
