virus or trojan email not detected by eset?

received an email with an attachment which had a zip file. eset scanning on the file was negative. the zip file had an exe file which the email claims were pictures.

made a directory for it, unzipped the file and scanned the exe which came out negative.

ran it, but the exe file disappeared after execution. seems I can't delete the directory as it says the file in the folder is open in another program.

i'm running win7, eset nod32 4.2.71.2

 

It's really a bad idea to open unknown files even if they are not detected by an AV program. I'd suggest emailing the suspicious file to ESET as per the instructions here and attaching a SysInspector log for analysis as well.