Open a command prompt, navigate to the right directory, and try to delete it that way.
"del foo.exe" for example, would delete "foo.exe" in the current directory.
I'm not sure why Windows would do that with an executable. With video files, it loads the first frame of the video into memory to display it in a preview window or as a thumbnail, which is why you sometimes have issues deleting video files.
There's a registry patch you can do to disable this previewing, though I don't have it handy.
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Eat antimatter, Posleen-boy!
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