http://www.kellys-korner-xp.com/xp_d.htm#del
Delete - AVI, MPG... files (access denied error)
Close all open apps. 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".
Now you will only have the command prompt and the task manager. In the
Command Prompt, DEL the offending files (DEL *.mpg, DEL mus*.avi, DEL
test.wmv, etc.)
The files should now delete without a problem. Now go back to the task
manager and click on the Applications tab. Click the "New Task..." button.
in the dialog, type Explorer.Exe and click OK.