I got a threat alert as "bug37360.gif: BC.Gif.Exploit.Agent FOUND"

Is this a genuine alert? I scanned the infected file with another av, there it doesn't finds it as infected. Any idea how to fix this?

One, two, or three AVs are not enough to verify an infection. I suggest you upload the file in question (do not run/execute it) to Virus Total where they will scan the file with over 50 AV programs, including the Clam AV scan engine/signatures used by ClamWin. If several AVs see an infection, it is probably a real infection. Some AVs are better than others, however. I like to see at least 2 of these AV verify an infection: Avira, Bitdefender, Eset Nod32, Kaspersky, and Sophos. These are all large AVs used by both individuals and businesses, and they do not license someone else's engine.

If you have an infected file, you should quarantine it. If ClamWin does not detect it but 2 of these AVs do detect it, upload the file to Clam AV at https://www.clamav.net/contact on the web so they can prepare a signature to detect it. Use the link to report an infection--do not use the link to report a false positive infection.

Remember that ClamWin is not a real-time scanner, so you should use a real-time scanner as primary AV and use ClamWin as a backup scanner. I suggest either Microsoft Windows Defender, Avira, or Panda Free AV. They are all free for individual use. Malwarebytes Free Antimalware is a good tool to clean an infection if your AV can't handle it.

Thanks for using ClamWin!

Regards,