what happens when you try and delete it the regular way (with the delete button)??
in any case, most likely the file is in use somehow.
what OS are you using?
you can try this:
boot to safe mode command prompt only. navigate to the directory where the file exists. If this a directory with a long file name then you will have to use the XXXXXXX~1 for each dir with a long file name or enclose the dire name in ""`s.
once you get to the directory, you should be able to delete it.
or you could try:
create another user on your system with admin rights, reboot the computer fully (not just log off/on) and into the new acct name under safe mode. This should also release file for deletion.
the later solution is better if the file you are trying to delete is on an NTFS partition. It also assumes you already have admin rights on the machine (to be able to create a new account).
HTH
Chrys