What is the ^M character called?

It is known as carriage return.

If you're using vim you can enter insert mode and type CTRL-v CTRL-m. That ^M is the keyboard equivalent to \r.

Inserting 0x0D in a hex editor will do the task.

How do I remove it?

You can remove it using the command

perl -p -i -e "s/\r//g" filename

As the OP suggested in the comments of this answer here, you can even try a `

dos2unix filename

and see if that fixes it.

As @steeldriver suggests in the comments, after opening the vim editor, press esc key and type :set ff=unix.

References

https://stackoverflow.com/questions/1585449/insert-the-carriage-return-character-in-vim

https://stackoverflow.com/a/7742437/1742825

-ksh: revenue_ext.ksh: not found [No such file or directory]

Code

sed -i 's/^M//' filename.txt

While typing ^M in the command, do not use ^M as that only inserts what is displayed, not what causes it to be displayed; use CtrlV CtrlM.