Get file name and path. Boot into safe mode and delete.
Still refuse to delete check permissions, give yourself full access if required.
Still refuse to delete, run Unlocker @ Download Unlocker 1.9.0 - FileHippo.com
on the POS. Will delete when you reboot.
Might try running unlocker first btw, very good at killing the process first and then deleting the file for you.