If it still doesn't work... use the command line only mode (Start Button--Run--type cmd, press Enter).
Use "cd.." to move up the folder chain and "cd Directory_Name" to move into a directory. When you reach the directory where the file is, write "del filename" and voila, it will be deleted.
I have this kind of problem all the time with movie files that I download from Kazaa (not always, but often enough).
Knowing DOS commands can come in handy!
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