Huh. When I get an un-removable file in Windows I tend to use my Knoppix Live CD.
The latest versions will write to NTFS and so you can delete that difficult file.
(It'll also show all those nice hidden folders and documents that Windows won't show, very handy for having a look around.
I managed to find a high level directory containing thumbnails of every file I thought I'd deleted in the past few weeks. )