Try Unlocker:
http://ccollomb.free.fr/unlocker/
Download and install it. The program is freeware. Once installed, right click the file and select 'Unlocker'. If the file is locked by another process, a window will popup telling you what is locking it. You can either post back to let us know more details or you can attempt to unlock it then delete it. To do that, choose 'delete' from the drop down menu and then select 'Unlock All' and it will tell you if if has been successful or not...you may need to reboot.
Are you able to check the files Properties for any clues on where it came from?