I've found that sometimes simply copying the file to another folder will
then let you delete the original and the copy. Also, sometimes this works:
Highlight the file, leave it highlighted and wait a few minutes so windows
will finish loading or indexing it. Then right click it and choose delete.
If that doesn't work try below:
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 (start, run, cmd, hit enter) 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.