From what I can think of this could be for either of 2 reasons. 1. The file in your library is being shared & uploaded to somebody. 2. One of your applications has used it & is still within its grasp of control even if it's not presently playing.

Answer is to quit all applications & then try to delete the file. If this doesn't work, then it must be in the process of being uploaded. You'd need to quit LW. In that case you could delete it manually or delete it immediately after you re-open LW & the shared files have loaded.

At the very worst, if nothing above works then manually delete it after restarting computer or restarting using a startup disk.