These are special files(encoded) so they cannot be renamed or deleted.Sometimes they have very unsavoury file names that look bad!
But you can always get around!

1.Any Mp3 like this, you have to play on your desktop player while recording a copy of it live with the windows Wave recorder.Then rename that new file to your liking.Create a new folder and drag the undeltable file into the new folder.Then delete the new folder.Folders can always be deleted including all their contents.

2.If its a Mpeg open it in something like paint shop pro 7 anamations and then save it as a large gif file of your liking.Again drag the undeletable file into a new folder and delete!