More and more people seem to notice a new folder in their system32 folder, and that’s a good thing, you should always be vigilant for new folders which do not below in the System32 folder. However this GWX folder is nothing to worry about. It’s required for the upcoming Windows 10 upgrade, at least that is what is being said on the internet.
GWX stands for Get Windows X (Windows 10).
At least that is what being said on the online communities, the most important thing is that Windows has added this folder in a Windows Update (https://support.microsoft.com/en-us/kb/3035583) and you do not need to worry about it. If you’re afraid you got a malware infection then check out this guide.