The "nohup.out" seems to be an output log file of the UNIX command "nohup", which allows certain processes to continue running even when the user logs out.
http://en.wikipedia.org/wiki/Nohup
I doubt very seriously that it's a virus or malware, and the fact that it's not deletable could mean that the process using it is still running. It could very well be a byproduct of the VPN/secure tunnel software, since some Googling around lead me to read some articles on a piece of software called "AlmostVPN" and the nohup.out file on Mac OS X.
It seems to be a plain-text file, so you could try opening it with TextEdit or your favorite text editor and seeing what's inside.