If you've uninstalled PC Guard, that will explain why it doesn't exist, so all we need to do now is explain why you are getting the message. Simple: the uninstall was incomplete, and Windows is still trying to load the program on startup.
If you are lucky, it's just left a shortcut in your startup folder, and as that's the easiest thing to remove, let's check that first.
Click Start/Programs/Startup. Is it mentioned in there? If so, just delete it.
If not, try: Right-click Start, select Explore All Users. In the right-hand pane double-click Programs, then locate and double-click Startup. If it's in there: Delete it.
If that doesn't work, follow Huderon's suggestion of re-installing then uninstalling.
Finally, if that doesn't work, post back, and we'll see if we can remove it using msconfig.