I always get this message on my folders. My trick is to restart your pc, keep presing F8 at the very beginning of the pc loading up.
A window will appear with options. Using the keyboard select the option at the top of the screen " Start up in Safe mode "
click on it and wait for it to load.
A window may appear asking you that your pc already has Back up Program installed like system restore. Continue into Safe mode? Click yes then wait for the rest to load. It will be just like your original desktop but everything will have changed, now dont worry this is perfectly normal.
Go to the Folder where the File your trying to delete is and just delete it as normal. It will be removed from your system.
If you require any more help, reply on here.
Hope this helps you out
Jonny, July 2007