It depends on what file your trying to delete. If you're deleting the temp file used for the preview then ensure that the viewer used to launch the file is closed.

If you're trying to delete the actual file since you don't like what you see / here then make sure that you kill the download first from the Search Tab.

Other than that it could be if you have partial file sharing enabled as mentioned before. So check to see if another user is downloading it.

For what's worth IHIH.