Which one did you try with? The one I used? Just download the utility, install it then open it.
In the box on the left hand side, open C:\, then Documents and Settings, then your username, then Shared. Now in the box on the right hand side, scroll through til you see the file you want to delete. Highlight it. Now click on'Delete file via short name' (well that's the one I chose). You'll get a popup asking you if you want to delete the file, click 'yes'.

See how you go