From F-PROT Web site:
In April 2002 there appeared a hoax message concerning a new virus that was
reportedly discovered in Windows utility JDBGMGR.EXE. The jdbgmgr is a
standard windows component that is found in every windows installation, it
is used as Java debugger manager in Microsoft Java runtime engine. We
checked several versions of this utility from Windows installations and
found nothing malicious in them.
Please ignore this hoax or anything similar warning about jdbgmgr.exe and
don't pass it on.
If you have deleted JDBGMGR.EXE from your system, it can be restored by
installing updated version of Microsft Virtual Machine or Internet Explorer.
Please note that some e-mail worms (for example, Magistr) might sometimes
send an infected JDBGMGR.EXE in an e-mail attachment, but this infection is
caused by Magistr not JDBGMGR by itself. So the bottom line is, if you
receive JDBGMGR.EXE or any other windows component by email, it is most
probably a file infected by a virus. If you find JDBGMGR.EXE from your
system directory, it is most probably a clean file.