well if it is a video or music file make sure all winamp windows media or anything that plays that file is closed. Also make dure that the specific file is not downloaded while you are trying to delete or transferred which would still not let you delete it.
Another thing is that sometimes p2p programs keep some programs in use long time after they are downloaded. The trick is to close them and try to delete the file then. If this won't work restart and try and delete it before the p2p program starts again.
If this is not the case then it might also be a file used by a virus or a hack file so then you might get your answer in an antivirus program.