First i could not open clamwin, then i tried to uninstall and got the message that "uninstall001.dat does not exist unable to uninstall". What shall i do?

Looks like the clamwin files got deleted.

To uninstall it manually do the following:

Folders to delete manually (presuming you installed for all users):

c:\program files\clamwin
c:\documents and settings\<your username>\Application Data\.clamwin
c:\documents and settings\All Users\.clamwin

Then locate and delete "ClamWin" entry from this registry key:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Run

and delete the following registry key:
HKEY_LOCAL_MACHINE\SOFTWARE\Clamwin

When i try to delete manually, i get this message that acces is denied to "ExpShell.dll" I have checked the file and it looks fine. So I cannot delete

you need to reboot and then not use right-click in the explorer before you delete this file