Funny thing is, after the update is done, the file becomes 100% useless trash.
All that trouble for nothing.
I have see it on external drives from time to time though.
However, you should be able to remove it, unless it is still in an active state. Try disconnecting the external HDD, reboot the system, turn the external HDD back on, and you should be able to remove it just fine.
Other then that you can't do anything with the file, as its just protected by layers of ownership permissions and what not.
Being an official Microsoft/Windows file and all. That still looks like something it shouldn't.