Hi Valereee !! Using mac .... and back to PC a lot of years ? It is a bit different to operate a PC. If you want to set a picture as wallpaper, Just right click on the picture, you will get a context menu. Either second or third option is "set as desktop background " there, click on it. Wallpaper is changed.
Want to delete a file? Right click on the file again, and click delete (at the bottom ) in context menu .
But if a picture situated at desktop is used as wallpaper, and you have deleted it, you will get no wallpaper at the next logon. So dont delete the file which is in use.
About a file opened in dock ... look at the minimised windows at the dock, and try to close it. But if not found anything there, close dock using task manager ( will get the option by pressing Ctrl+Alt+Del simultaneously ) , stop the dock from processes tab, delete the file, and restart the dock from applications tab, new task button .
Hope in a few days you will be accustomed with a pc