Make sure all of your browsers are closed and you're disconnected from the internet before doing this to make sure the internet connection is not affecting this file in any way.
Try right-clicking the desktop and select "Refresh" to try to make it disappear if it claims it isn't there.
If that doesn't work, restart your computer in safe-mode using the typical mashing of the F8 key before boot up.
When you're in safe mode and logged under Administrator, open up the command prompt by pressing your Windows key + R to open Run. Type "cmd" without quotes and press enter. This will bring up your command prompt.
type "CD Desktop" without quotes
press enter
type "DIR" without quotes
press enter
Do you see your file in the list of files that show up?
If you do, delete it by typing:
"DEL blah.mov" without quotes
(obviously replace blah with whatever the file is called"
press enter
Reboot your computer afterward and log in as usual... the file should now be deleted.