See these:

Deleting files in safe mode

http://www.softwarepatch.com/tips/howto-delete-xp.html

http://ask-leo.com/why_cant_i_delete_this_file.html

http://ccollomb.free.fr/unlocker/

Edit: I'll add this following one to the list (shareware), since I'm using this post as a reference: http://www.purgeie.com/delinv/dldelinv.htm
Thanks to da1nonly.