What operating system and what file system are you using? FAT32 or NTFS? Try logging in to safe mode and try to delete it that way.
If that doesn't work, run chkdsk on the C:\ drive. It's supposed to fix invalid name entries, etc. You can do this by going into My Computer, right clicking on the C: drive, and then going to properties. Click the tools tab and then the Check Now button to scan your drive for errors.
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