Yeah, I had that on my computer before, it's a bitch! What you wanna do is start up your computer in safe mode (F8 when it's booting up) and you should be able to delete it then. Good luck, let me know if it works out for ya!
this prog might help, if you're getting that "...cannot delete, file is in use.." http://www.dslreports.com/forum/remark,7374516~root=winme~mode=flat
I think I had that screwing with my IE a week or so ago... I found that eventually Winpatrol got to it... other wise searching through the program files and registry should do the trick... Winpatrol SHOULD do that for you though cept sometimes you get the message in above post... keep trying