Orphan .mem.sh file created during setup (believed to be VM)

I have successfully installed the latest Parallels and Windows 10 and it all works fine. However, I also tried to copy my old Windows XP configuration from a previous Parallels. It put me through to Miscrosoft, I successfully got a code on the phone and XP started to install, but froze and then kept on restarting and freezing. Eventually I had to command-option-escape the process and decided to give up on XP.
However, I now have a file called {random string}.mem.sh which is visible when I open "All My Files" on the Mac, but it shows no path, it cannot be edited or found, and says it has "unknown access". After a lot of googling I suspect it's some VM file.
To summarise: I don't care about XP and am happy to now work on Windows 10, but this strange file is a concern. Can it cause memory issues? How can I delete it?
Thanks for any help.

 

Yes, it a part of Parallels Desktop virtual machine. This file is created on the virtual machine start and is removed on its stop or suspend. So if you stop all your virtual machines (this is important!) and still see such "*.mem.sh" file - you can remove it.

 

Thanks, it is still there when all virtual machiness are suspended and Parallels is not running. But I can't remove it! When I 'Go' to 'All My Files' in OSX, it shows the file in the list. But if I select it, the menu item for 'Move to Trash' is disabled. The Finder won't even show a pathanme for it! I've tried everything to find its location, no success. Any ideas on how to find it and then delete it?

 

Please, run this command in Terminal and its output here:
lsof | grep 'mem.sh$'

 

I ran it and the output came out empty.
However, the file in 'All My Files' previously showing as {random string}.mem.sh is now showing as "ParallelsDesktop-12.1.3-41532.dmg", which of course is a perfectly normal file and is present in my Downloads folder. The size of the .dmg (268 MB) matches what it showed before for the .mem.sh file, surely it must be one and the same file. I conclude that this is probably a bug in Apple's Spotlight and nothing to do with Parallels. If so, I'm sorry to have troubled you and thanks for the help!