It could be that the file is corrupt, or is infected with some sort of virus. You should be using a program such as MSE or Avast which can scan the files that you download for viruses. This will hopefully prevent you from downloading unsafe files.
If you need to delete the file without viewing the thumbnail there are a few things you can do.
A) Turn off Thumbnails
Thumbnail Previews - Enable or Disable
B) Delete the file using command prompt
> Open an administrative command prompt window
> Start
> Search for "cmd"
> Right Click "Command Prompt"
> Select "Run as Administrator"
> Now you need to navigate to the directory the file is contained in.
> cd "FULL PATH TO FILE"
i.e. If the file was in C:\Users\myusername\Downloads\ I would type:
cd %USERPROFILE%\Downloads\
>del "FILENAME"
i.e. If the file was named video.mp4, I would type:
del video.mp4
> Close the command prompt and you should be able to open the folder again.
It will be much easier to just turn off Thumbnail previews if that is the cause the for explorer crash.
I highly suggest that you delete the file without opening it, as it could be infected or corrupt. You should also run virus, malware and spyware scans as soon as you've permanently deleted the file.