Close LW 1st. Then see these techniques:
http://ask-leo.com/why_cant_i_delete_this_file.html

How to delete files from your hard-disk: download: moveonboot.exe

Make sure you have a reasonable anti virus program with up to date definitions.

Also get a hold of these: 1. ad-ware (FREE), 2. Spybot - Search & Destroy (FREE), 3. Peerguardian (FREE)