There maybe many reason for that.. It might be an outlaw or the sheriff himself..
I am not an expert by any means but I usually deal with these kind of situations by googling the file's name exactly it is written.. See if any similar issues is recorded..
In case you have done that and nothing came up, hence you are here

well then you should provide some more information..
Such as, you system info.. Then where this file was? Is it in an active HDD (your bootable system disk) or in a secondary HDD like where your movies, photos are stored?
What folder is it in? Windows folder, in desktop, in Temp Folder, etcetera..
Mean time, if you like you can try this little free tool to unlock the file and then delete it... But if this file is in your system disk I would be careful as you don't want to delete something that you would regret later..
http://www.emptyloop.com/unlocker/#download Scroll down until you see "Download Unlocker 1.9.2 - 32 and 64 bit version"
I hope this helps..