Go to your Library window, find that file & right-click & choose stop sharing. Try deleting again. Else, close LW & delete it.

The reason you cannot play the file is either (a) lacking the correct Audio codec, else (b) deliberately corrupted file, else (c) a file (possible virus) masquerading as an audio file; Virus thread: Typical virus spam file sizes - Make a note of them (click on blue link to see)

If above suggestion doesn't work, you can check: Incomplete Download File won't delete at all (click on link)