... or: Close all open programs... Start | Run | Type taskmgr.exe and click OK. Leave Task Manager open, and click Start | Run | Type cmd and click OK. Leave the Command Prompt window open, go to Task Manager and click the "Processes" tab; "End Process" on "Explorer.exe". Go to the Command Prompt window and navigate to the file that you'd like to delete, and enter del <filename>. Go back to Task Manager | Click "File" | New-->Task | Enter explorer.exe to restart the GUI.
The following MSKB article may also be of some help to you (assuming you're running an NT-based OS like XP)...
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