1st step - If you were playing the file with Windows Media Player or something, then press Ctrl+Alt+Del to bring up the task manager. In the processes tab, click Image Name to sort the things running in abc order. Then look for wmplayer.exe and if its running, click it(to highlight it) and click end process. Then try and delete the file, if this doesnt work, then try whats written below.
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2nd step - If this isnt whats going on, then you might have to try and delete the files from the Command Prompt. Start-->Run-->cmd, although I am not too sure if you have any experience with DoS. If not, then you should just do as tony suggested and restart the computer, then delete them to see if that works. If this doesnt work, then restart your computer again, but this time in Safe Mode.
Starting your computer in safe mode allows only files required by the system to make it run, are used and anything else like the problem your having is cake to take care of.
>>To start your computer in safe mode, click start, run, then type msconfig. Go to the BOOT.INI tab and check the box that says /SAFEBOOT. Click Ok and restart your computer as prompted. After its booted in safemode, find the file that you were having trouble with, delete it, and empty your recycle bin. Now to start your computer back up, follow the step above, but this time, UN-check the box next to /SAFEBOOT, and restart your computer as prompted.
Hopefully this will help a bit.