How can I delete a file that won't delete?

Go to the YouTube video I am linking to below. Or search for "file won't delete" in the search there, more than one way to do it.

First of all, I've tried deleting it by dragging it to the recycling bin, which doesn't work. I've tried Shift+Del on it, and it doesn't work. I've even booted my computer in safe mode with command prompt and tried deleting it with the command prompt, and it doesn't work.

Every time I try deleting or even moving it, it just shows the load window, but doesn't have the bar moving... It stays like this.

I've tried leaving it on over night, and nothing is different.

I'm on Windows Vista. Help!