(the ntfs dos or xp boot disk should work, but this might be easier)
sometimes explorer itself gets a hold of a file and won't let go, try this method:
close all programs
open a command prompt window (a dos window), and cd to the folder with the file (or folder)
do a control-alt-delete to get the task manager, and shutdown the 'explorer.exe' process.
you'll be left with just the dos prompt window...go back to it, and delete the file (del filename.mpg)
then in the task manager, in the applications tab, hit 'new task' and type in explorer.exe and you'll be back to normal