you're using Windows, that much is clear. Which product is it, Sophos Home? Where did you see the alert? Usually either the local Quarantine Manager or the Home Dashboard should list the available options - which are there?
to the right is another column (note the scroll bar near the bottom) which lists the available actions. Or tick the checkbox, then the Perform action button will become active and the actions will be in the drop-down.
apparently an as yet unidentified something is dropping this file. If you've already run a full scan that detected nothing I'd suggest you use the Source Of Infection tool to find out which process is dropping this file.
