Any running program will appear as an unmoveable file. by default windows needs certain bits to be able operate therefore there will be certain bits that will not be defragged.
So long as you are sure there is no spyware etc on your pc and it runs smoothly the I would be inclined to ignore it.
It use to be said to defrag every week but with todays high speed technology and large hdd's I don't really see it as a necessity. I rarely run defrag as the slight increase in seek time is precluded by the time required to do the defrag itself.