To answer the first few questions, I downloaded the file from a website (though I've been downloading from them for years now and never anything like this). The file itself comes from a different source (though, that too is a reliable source). When I actually use the file, it plays perfectly fine, with no problems in the video player either, so I think it does exist (also, it says it's a 391 MB file).
Some good news: Using cmd.exe while closing explorer.exe helped me delete the original file. However, when I tried to delete the other two copies, it said that it could not find the original file. For example, I would say "del filename (1).mkv" and it would say "filename.mkv not found." In other words, no matter which copy I try to delete or how I tweak the filename (adding/subtracting spaces, etc), it would tell me that the original file is gone. So for now I'll re-download the original file in its original name and start again with the copies this time.
As for Unlocker, I downloaded that before coming to this forum but for some reason it doesn't seem to activate. The icon appears in my programs and I click on "start unlocker" as well as the assistant, but when I right-click the files, the Unlocker icon does not appear (not just the three files in question, but regular files as well). And since I can't seem to find a way to start Unlocker and add the files in from the program window, so I'm not sure what to do.
Update: I just ran cmd.exe again starting with the copies, but no difference. It still says "cannot find (original) filename.mkv," so I deleted the original file again. At least I'm down to two copies now. Thanks for all the help!