Try deleting it from your saved folder instead of LW's library. In LW tools > options > saving shows you the location of your saved folder (by default it's C:\Documents and Settings\your username\Shared). Now close LW, check in task manager to make sure it's properly closed. Navigate to your saved folder (you can also use your computer's search to look for the file name) & see if it'll delete.

You could also try deleting in safe mode...see the link below.

Otherwise, you might need one of the tools from the link below. I've used both Unlocker & DelinvFile (from the 'ask Leo' link)
http://www.gnutellaforums.com/showth...threadid=48594