It's all part of the "Microsoft Malicious Software Removal Tool".
It would have been downloaded in the last round of Windows Updates, and then it runs in the background after it is intstalled. Not sure why it ended up on the external, but it's not a virus or anything.
Nothing to worry about.
When you run the Windows Malicious Software Removal Tool, the
tool creates a randomly named temporary directory in the root drive of your
computer. This directory will contain several files and includes the
Mrtstub.exe file. Most of the time, this folder will be automatically
deleted after the tool has finished running or after the next restart.
I'd restart and see if it there afterwards. Deleting them won't harm anything either, fyi.