i had the same problem with an exe file, even after a reboot, i couldnt delete it. during bootup, hit F8 when prompted to get the boot options, and choose "Safe Mode with Command Prompt". the boot may take a while, but when its done you will get a prompt. navigate to the directory where the file is and delete it from the prompt.
if you are unfamiliar with shell commands, here is a <A HREF="http://www.microsoft.com/windows2000/en/server/help/default.asp?url=/windows2000/en/server/help/ntcmds.htm" target="_new">link</A> to a list of them.