Windows 7: Help with deleteing icon

When ever I try to delete a file on my desktop it says this file is no longer located in
C:\Users\Jason Howard (<---- my user name)\Desktop and when I go to C:\Users\Jason Howard\Desktop (in windows explorer) it says it is still there and when I try to delete it from there it says this file is no longer located in C:\Users\Jason Howard\Desktop again. This isn't a big deal but it is annoying. If you want to see what I am talking about watch this.



http://www.youtube.com/watch?v=Rhq39o-KNLk

There are sooooo many threads here concerning this, just google it and they will come up, here`s a starter.

Help! I can't delete a file off of my desktop!

Thank you for delivering me to that thread sence it says windows automaticly blocks files like filename. instead of going into Windows and deleteing the file I happened to have a Wubi partition with Lubuntu on it so I went to /host/users/Jason Howard/Desktop and I deleted the fie from there.
Again Thanks ,
Jason