couple of different solutions to this.

you can try just deleting it from the command line instead of from windows.

alternatively, get process explorer:

http://www.sysinternals.com/Utilities/ProcessExplorer.html

Find find a handle, and type in the name of the file. Once found, close the handle. Then try deleting from the command prompt (start, run, CMD, navigate to the right directory and then DEL FILENAME)

You can also download mboot.exe. Will delete difficult files at the next boot.