Generally, unless you are into software development, you will never need this file.  It may be a good option to forget about it if you deleted jdbgmgr.exe 

***There are two variants of the Email messages referring to this as a virus, one is not a hoax***

If you received the message to delete the teddy bear icon:
Antivirus do not detect it because it is a hoax and NOT a virus.
Whenever you get an E-Mail like that, check this link, near the bottom in Reference Area, click on Hoaxes:
http://www.symantec.com/avcenter/

To restore jdbgmgr.exe in Windows XP:
Go to this link, line 184 "Restore jdbgmgr.exe - Virus Hoax" to replace jdbgmgr.exe:
http://www.kellys-korner-xp.com/xp_tweaks.htm
Place it in the C:\WINDOWS\SYSTEM32 directory.

To restore jdbgmgr.exe in Windows 98/98SE:
Insert the Windows 98 CD.
Close any box that opens.
Start/Run
Type "SFC", press Enter.
Place bullet in "Extract..."
Type "jdbgmgr.exe" in the "Specify... box
Restore from "*:\WIN98" (*=CD Drive)
Save file in "C:\WINDOWS\SYSTEM"

There is also a Trojan called "jasmin".
The trojan takes advantage of this well known hoax
The Teddy bear icon is correct, the screwdriver is the virus file.
See these links for more details:
http://www.f-secure.com/v-descs/dasmin.shtml
http://www.f-secure.com/v-descs/recory.shtml

It is VERY IMPORTANT to run an updated virus scan once this issue is resolved to ensure your computer is virus free.
Also run an updated virus scan at least weekly to reduce your chances of getting a virus to near zero.
Forward these links to your friends that may have the same issue.

Also see this page:
Safety and Security