|Did your tries include these?|
1. "Drag" it into the bin rather than using the right click option.
2. Create a new folder on the desktop and drag the file into it.
Then try deleting the "folder".
3. Go to Safe Mode (tap F8 while booting) and delete it there,
if necessary using 1. or 2 above.
4. Install a freebie program called "Move on Boot":
You then right click the file and invoke the "Delete file(s) on the next boot" option.
5. Create a Linux "Live CD", such as Puppy Linux, then boot with this (after setting CD to "boot first" in BIOS), so you can delete the file without Windows running. You will need to use the full path to the desktop - via "Documents
and Settings"... etc.
EDIT: Try to make your subject line more meaningful next time, such as
"Deleting a file". After all, everyone needs help around here.
some other bloke...