I had the same problem with downloads in the past. Whatever I tried, the files could NOT be deleted.

How to delete files from your hard-disk:

download: moveonboot.exe

This program will allow you to select a file that you want to move or delete. When you reboot, the file will be moved to the location you want or if you've chosen to delete, it will be gone!

Good luck!

GreetZ, Melissa