I can think of a couple ways to make this possible as I have come across this same problem to various degrees of difficulty.
1) Sometimes, I can just open a command prompt and delete it from there when the windows GUI wouldn't let me. Start/Run/cmd.exe - navigate to the directory and del <filename>. Spaces in filenames can be worked around either using the 8.3 name usually listed if you type "dir /x" or typing the full name with spaces with quotes around it (ie: "c:\Documents and Settings\All Users\My Documents")
2) You could start in safe mode and use the command prompt from there. Personally, I don't like doing this - it's almost like admitting failure.. Don't ask, it's an ego thing..
3) Use some free SysInternal utilities (either Handle:
http://www.sysinternals.com/ntw2k/freeware/handle.shtml or Process Explorer:
http://www.sysinternals.com/ntw2k/freeware/procexp.shtml) to show you what process is holding that file open and kill it.. then delete the file
4) Use other utilites like microsoft's (unsupported) inuse.exe (
http://www.microsoft.com/windows2000/techinfo/reskit/tools/existing/inuse-o.asp) to replace the file in use with a Null file on the next reboot.
5) Load up Cygwin (
http://www.cygwin.com/) and load up a BASH shell and delete it from there. Umm... unless you know what Cygwin is and what a BASH Shell is, don't use this..
6) If all else fails, go burn a copy of Knoppix (
http://www.knoppix.net/) onto a CD and boot off it and mount your HD and delete the file. Again, if you don't know anything about unix and/or linux in particular, either choose a different option or learn it. Knoppix is a great way to learn it BTW since it is a self-contained live linux CD.
Hope any of these can help.
I can think of other ways.. but one of these usually works.