Renaming it might help. Try .bak or something similiar. But I will tell you, I did that to one file the other day and it still would not delete. I had to move it twice to get it to release.
If that won't won't do it, does shift+del help? Can you move it, if so try moving it to another folder, and maybe again after that.
If none of that works, you might try booting to a repair cd or install DVD and using the command prompt option to see if it will delete.
Something probably still has a hold on it because it has some link to another part of your system.