Two things I can think of,....
Reboot your computer in Safe Mode and try to delete the file from there.
Second, if the first doesn't help.....thorough check of your system with any (I'd say ALL) programs of the following list....
Still no joy??......Follow my last link and get free professional help...
Check your system using any of these programs (I reckon using all of them):
http://www.lavasoftusa.com/software/adaware/(free) http://www.grisoft.com(good free AVG) http://www.ewido.com(free trial which can still be used and updated after the period has ended -the best in my opinion) http://www.ccleaner.com/download/(free) Spybot - Search & Destroy (FREE)
If you can't get rid of it go here and get some free computer help:
http://norbiesworld.co.uk/computerhelp 