try deleting it from the command prompt with del "filename"
make sure no explorer windows are open on it
or left click another file then right cick the file you want to delete and select delete from the popup menu
doing this usually cures the problem with the preview for good
Start/Run/Regedit
-HKEY CLASSES ROOT\SystemFileAssociations\.avi\shellex\PropertyHandler.
Delete the "Default" key.