sulfnbk.exe is an important system file but not "Mission Critical". So Windows will run without it until you, or the system, calls for a backup of a file with a long file name (ie with a name >8.3 as in DOS).
sulfnbk simply stands for "Set Up Long File Name Back up".
If you have deleted it, you can restore it from your Windows disk either compressed as sulfnbk.ex_ or in one of the Cab files. (Not sure which.)