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1.USE the 'task manager'

Using the Task Manager to delete trouble some files is one of the most common methods.
First

Hold the key combination [Ctrl]+[Alt]+[Delete] to launch the 'task Manager'
Go to the 'processes' tab
Select 'explorer.exe' and click 'End process'
Click 'File/New task",enter "command".Click "OK"
In the command prompt navigate to the folder which contains the file that you want to delete.
Once you are in the folder,simply type 'Del' followed by a space and the filename.For example,
'Del Unwanted.txt'.
Type 'exit' and hit [Enter]to close the prompt.
In the Task manager click 'File/New task'.
Type "Explorer.exe" in the text box and click 'OK'

Windows Recovery Console

The windows recovery Console helps administrators to recover their system from fatal crashes and other problems.Make sure u have administrative privileges in ur Local Machine.
1.Insert the bootable Windows XP CD.
2.Click 'Start/RUN'
3.In the command prompt,Enter,'E:\i386\winnt32.exe/cmdcons'[where 'E' is the CD-ROM]
4.The 'Windows Setup' Dialog box will appear on your screen.This dialog box will contain brief information about Console.Click'Yes'.
5.The installation will complete automatically.After it completes,Restart your machine.
6.Select 'Windows Recovery Console" on startup
7.Wait for files to be copied into your system.
8.If you have Windows installed on only one drive then enter'1' and press [Enter].Else,Select which installation of Windows you want to start.
THE next time Windows starts,Microsoft Windows Recovery Console will automatically start.Use this console to navigate to the location where the file is stored and delete it.

DELETE WITH UNLOCKER
Unlocker is a free application that can safely get rid of files that refuse to be deleted.Using it,various errors can be dealt with,especially file access denial,sharing issue and broken links.
INSTALLATION AND CONFIGURATION
Download Unlocker from http://ccollomb.free.fr/unlocker/
Download it and install it.
Once the application is installed you will notice a tray icon called 'Unlocker Assistant'.Right click a file that cannot be deleted and click 'Unlocker' in the context menu.
Click "Unlock" to remove all restrictions that keep you from deleting it.
Once the file is unlocked you can delete it from the respective source or move it or rename it .

DELETE FILES USING UNLOCK ME
UnlockMe is another application that can safely get rid of files that refuse to be deleted.
Download it from http://camtech2000.net/Programs/UnlockMe.msi
Once you installed it,right click the file or folder that need to be deleted and click 'UnlockMe' in the context menu to Unlock it.Once unlocked you can easily delete it.
You need to keep in mind that the application that is running the locked file terminates.eg:-the MS Word process is killed when u unlock a document file.Hence u need to save all other files that use the application before unlocking it.