I suggest you update your AV to ignore the Pegasus Mail folders directory and NewMail directory content. Any virus content remains dormant while in a folder. Any attempt to open such a virus-ridden message will cause a realtime warning when an attempt is made to open the message.

Martin 

My anti-virus software says that it has detected a phishing tool "PHISH/MSNBC.D" in object FOL037D6.PMM

and is suggesting that I move that to "Quarantine".

Is a .PMM file a SINGLE message ?

The start "FOL"  makes me think it is a FOLDER.

I don't want to rashly delete data I care about.

 I wonder if this is just something embedded in a piece of spam that I would never open anyway.

You are correct that .PMM files contain folder content.  They each have a matching .PMI file which is their index file.  You were wise not to delete it.  I suspect the detection is indeed a piece of spam but may be worth attempting to locate and delete. Figuring out which message could be a challenge though.

To figure out which Pegasus Mail folder is associated with that file you can right click on each folder name then select "folder information".  This is not practical if you have an extensive folder list so consider downloading the PEGFOLDERS utility.  It lists all folder filenames and their associated friendly name located in the directory from which it is run.  Find it at http://www.lexacorp.com.pg/lexacorp_utilities.html#EMail.  Look for "Pegasus Mail Address Folder name resolver" on that webpage.