1) Try hitting F5 to refresh the screen.
2) If it is still there then try to reboot
These are checks to see if it is really gone and your display has just not updated.
3) Reboot into safe mode
This is done by hitting F8 while your computer is booting and choosing "Safe mode" from the boot menu. This will load almost no drivers and software, so nothing will be locking the file.
4) Browse to where the file is in a command window
4a) Click "Start" then "Run"
4b) Type: CMD [Enter]
4c1) If its on the desktop, type: CD Desktop [Enter]
4c2) If its in MyDocuments, type: CD "My Documents" [Enter]
4c3a) If its in a program-files folder then type: CD "\Program Files" [Enter]
4c3b) You then need to type "CD " followed by the program files folder its in.
5) Once your in the correct foler, remove file attributes
5a) Type: attrib -r -a -s -h filename.exe
(Replace filename.exe with the files name... put the filename in quotes if it contains a space)
6) Delete the file from the command window
6a) Type: del filename.exe
(Same rule applies as in 5a, replace the blah... and space thing...)
7) Reboot your system and notice the file is sure to be gone.
Almost nothing can survive a safe-boot dos-level erase, especially with file attributes cleared... unless its in use by a virus or rootkit system.