|I would also make sure that your internet connection is turned off. If it is a virus of some kind, it is probably running in the background sending packets of data to its mothership.|
If you still cant delete it after you have tried all of the above threads, I would move My Documents to another folder, create a new folder called My Documents and move all of the "good files" into the new My Documents. That way, at least no one will see the dodgy file and will give you more time to work on removing it.
Also, try removing it from the registry and stop all start up programmes except the ones you know are okay.