There is no virus by this name. However, Linux/Unix-based script code naming itself "Millennium worm" was posted to Bugtraq mailing list in September 1999.
This code does not appear to work.
Once detected, the F-Secure security product will automatically disinfect the suspect file by either deleting it or renaming it.
More scanning & removal options
More information on scanning or removal options is available in the documentation for your F-Secure security product on the Downloads section of our Home - Global site.
You may also refer to the Knowledge Base on the F-Secure Community site for more information.