If the file won't delete from LW's library (right click > delete) or from your saved folder (go to LW's library, click on the file & click Explore) try starting your computer in safe mode, see if it will delete then.
Microsoft Corporation

Otherwise, try one of the tools here (I've used both Unlocker & DelinVfile).
http://www.gnutellaforums.com/174735-post2.html

If your computer seems weird since you downloaded the fake file, make sure to update your AV & scan your computer!