It's a hoax; don't delete the file.

jdbgmgr.exe is Microsoft's debugger registrar for Java and is a fully normal Windows system file.

If you had deleted it you normally wouldn't need to restore it unless you use Microsoft Visual J++ 1.1 to develop Java programs on Windows XP, Windows NT 4.0, Windows 98 Second Edition, Windows 98, or Windows 95. It's however available for download on Microsoft's website if you do need it.

Besides, with such a cute little icon it just can't be bad