Try to delete it in safe mode. Just in case, you're not sure how...
This can be done tapping the F8 key as soon as you start your computer
You will be brought to a menu where you can choose to boot into safe mode.
Make sure you choose the option without networking support.
Please see here
for additional details.
If safe mode doesn't crack it then try kenny's idea of Unlocker, that works with stubborn files not malware though.
If that isn't working you've probably got something a little bit nasty in there and you could try and move the file. Cut and paste into a folder (just make a new folder). If it can be moved it can sometimes then be deleted.
If that fails, try Bleeping's Am I Infected forum and an expert will try a few more powerful methods under guidance.#