Actually make SURE that you are not running a program such as kazaa. If you
are sharing that file with ANY application, there is a chance that it isn't
free because of it. Besides that, I would try deliberately sharing it in
kazaa, then using the "my kazaa" tool to try deleting the file, and chosing
"delete from harddrive." If this doesn't work, then try moving the file into
another folder (chances are you won't be able to do this because if you
could, then you would just as easily be able to move it into your trash
bin.) If you can't move it into another folder, then move all of the other
files in that folder into some other folder to back them up, and delete the
folder containing the unwanted files. At least one of these things should
work, and they have always worked for me.