1. Depending on the version of Windows used -- which you didn't say, try the MS-DOS command DELTREE from the command line provided this is not a file on a CD-R disc.
a. Click Start, Programs, MS-DOS Prompt:
b. Change to the drive designation (path) where the affected file or folder resides and type the follow command and then press Enter.
Note: The DELTREE command removes files and folders without regard to extended characters. CONFIRM only the file(s) or folder(s) wanting to delete.
2. If the procedure in #1 above did not work, boot to the command prompt and perform the same instructions without Windows running in the background.
3. I don't find anything wrong with Bob's suggested link, but you may try DelLater is an ideal and simple program to use when you can't delete a file. To delete a file you simply click Start, Run, type dellater.exe, a space, and then type or copy the file name. Whenever the system is rebooted later, the file is deleted without you even knowing it.