What are the functions of auto.exe file
What it does while a computer is booted???????

I might be wrong and it's one of windows boot commands, but may be a virus. The following link is how to remove it.

http://www.ehow.com/how_5328877_remove-autoexe.html

Hi,
It is a malware worm and needs to be removed fully, follow the instructions on the site given by redburn, or go to http://free.avg.com/ww-en/homepage
or
http://housecall.trendmicro.com/
and remove the program with either of them.
You could also go to
http://www.majorgeeks.com/
and download Malwarebytes anti-malware which should save you getting this sort of problem in the first place.