First thing I did, I downloaded the file and opened it in a sandbox. It was a zip file, named Picture.15.JPG.zip. I unpacked it, and found an exe disguised in a .scr extension file. That stands for the ScreenSaver file format. I opened the file, and first thing it did was, it disappeared from the desktop. I believe it either attached to some process or it created new exe file and executed it.
I managed to clean my computer by installing Malwarebytes Anti-Malware, and MSE as antivirus. Make sure you have the latest updates for each of them, and run a full scan after that.