Explorer.exe in XP has a bad habit of wanting to hang on to files, even when you have finished using them - therefore when you try to delete the file, XP will say "Access Denied".
This error occurs more often when working with media files - mp3, avi, mpeg etc.
Close all open applications.
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".
That will leave you with only the command prompt and the task manager running.
Now at the Command Prompt, its time to delete the file(s). Using the DEL command. Example c:>\movies\DEL movie.avi
Now the files are deleted, go to the task manager and click on the Applications tab. Click the "New Task" button. in the dialog, type explorer.exe and click OK.
Thanks for the suggestions but had already tried deleting it from the command prompt. Somehow the filename has become corrupted and uses a character not in the normal set. If I try to delete it I get a message saying file not found.
The file is not being used, in fact its an old gif file that now has the extension .gia but the letter a has a wavy line over it.
Its not a problem, just an irritation it being there! I suppose I could temporarily copy all the folders, except the one with the damaged file, to another partition, reformat the drive and restore. But a sledgehammer to crack a nut I suspect and I don't intend to do it!