If that is the case you are in luck.
You can boot from a Win98 boot disk, navigate your way through the computer until you find the "favorites" folder (Which is where the URL's are saved by default)
Then delete the file from there. (Let me know if you any trouble with the DOS commands)
This will work because you won't have windows locking the file and giving you errors when trying to delete it.
Since you are booted from the floppy and DOS is in command, you can delete any file that you can't normally delete while windows is running.
Let us know how it goes.