First make sure it is not a system file. After you have determined it to not be a system file follow these steps:

•Close all open applications.•Open a command prompt and navigate to the directory with the offending files.•Then open the Task Manager and click on the Processes tab. select "explorer.exe" under Image Name. Click "End Process".•This will leave only the command prompt and the task manager running.•Now at the Command Prompt, its time to delete the file(s) using the DEL command. Example -- from the c:\movies directory type del movie.avi•Now the files are deleted, go to the task manager and click on the Applications tab. Click the "New Task" button. in the dialog, type explorer.exe and click OK.

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Added 12/21/02 -- ref: this MS Help forum post:
As alot of you know XP will sometimes hang onto a file causing you to go into the command prompt and kill explorer to delete the file. Well if you want a permanent fix read on:

1. open up regedit.exe and head to the following key
HKEY_CLASSES_ROOT\SystemFileAssociations\.avi\shellex\PropertyHandler

2. Delete the default value and close regedit.

This should keep you from having to go through the long process of having to close everything and use the command prompt to delete the file.