Final answer:
A message warning you to delete an essential Windows file is known as a virus hoax. It is a false alert designed to trick users into damaging their own computer systems.
Step-by-step explanation:
You're referring to a virus hoax. A virus hoax is a false warning, often spread via email or a website, that urges you to delete an essential Windows file claiming it is a virus. Such hoaxes can cause users to harm their own computer systems out of fear of being infected by a non-existent virus.
The other options you've listed, such as a keylogger, a backdoor, and a worm, are all types of malicious software, but they do not fit the description of a message warning you to delete an essential file.