It depending on which version of Windows you're using. If you are on Win 98, boot to the DOS prompt, go to the directory (folder) that has the file, and type, DELTREE/Y [file_name] <Enter>. If this doesn't delete the file, try changing the attributes with the command, ATTRIB -R -S -H [file_name] <Enter>. Then, try to delete it again.
The second command makes sure the attributes are set so the file isn't Read-Only, System, or Hidden.