Are you trying to delete it from within Windows? There are a million services that can be latching onto it. Try deleting it with the task manager open to the Processes tab. If anything other than SystemIdleProcess has more than 10% that may be the culprit.

If you can't kill the rogue process, try shelling out to a CMD prompt and deleting the file there. Type in delete /? to get the switches available. If there's one available for unconditional, use that.

If that doesn't work, boot the machine in safe mode command prompt and try that. If THAT doesn't work, boot from a DOS disk and delete it from there. If that doesn't work perform an exorcism.