try deleting it through the command line interface (start > run > cmd)
commands:
del *file location here EX: c:\blah\blah.jpg*
if that fails try booting into safe mode and deleting it from there.
ALSO RUN WAREZ'S SPYWARE GUIDE AS SOON AS POSSIBLE THIS IS MOST LIKLEY MALWARE OR A VIRUS IT SOUNDS LIKE CARELESS DOWNLOADING AND YOU MOST LIKLEY DOWNLOADED ONE OF THOSE .EXE OR .ZIP UNDER 1MB SO FOLLOW EVERY BIT OF THIS GUIDE TO PREVENT FURTHER PROBLEMS. http://www.techist.com/showthread.php?s=&threadid=117351
