I've had this problem before and delete it one of two ways.

1. Delete the folder that it's in (if there's anything else in the folder you want to keep I'd suggest temporarily moving it to another folder first) Then empty your recycle bin. Deleting the folder out takes the file out with it. hehe

2. A free program called Move On Boot will delete the file on boot before your OS loads. It was posted somewhere on this message board but i don't know where. Perhaps google it?