KnifeMissile

Yeah... I expected that, too...

Explorer is your desktop environment. It controls, both, your desktop and the task bar (usually at the bottom of the screen). What a lot of people don't realize is that it's a computer program, no different from any other. So, like any other computer program, you can kill it (its process) and, like any other computer program, you can execute (launch) it.

So, like I was saying before, launch the Command Prompt program (that window that shows a DOS like interface). Kill the explorer process with Task Manager. Yes, you will see your desktop disappear but all your programs (and their windows) will still be wherever you left them. So, go back to your Command Prompt and delete the file. There shouldn't be a lock on it now that you've killed explorer. You can reboot and everything will be back to normal and the offending file should be gone but you don't even have to go that far to get your desktop back. You can simply launch Explorer from the Command Prompt by typing in "explorer.exe" and pressing enter. Notice how this is no different than invoking any other program in Windows, like "del", the very program you used to delete the file!

So, I hope this has helped to demystify your computer.
How did this work out for you?