Hello and thank you for reporting this case.
Please send us your BullGuard Logs, so we can investigate and answer your questions. We will also know if you need to take any action.
To speculate a little, it's likely a Behavioral issue occurred. We will know more from the logs, but BullGuard should in any case leave your explorer.exe unaffected, even if something wants to run from it.
Also, you had the right reaction to report it as a false positive detection as it will be re-investigated.
Regards,