First Option : Use F5. Obvious but... I have a strange behavior in Windows that makes somes of the directory without auto refresh... So the file seems to be here but does not and of course produce an error when trying to delete.

Second Option : After F5, the file is still here, you might try Unlocker (http://www.clubic.com/telecharger-fiche20237-unlocker.html). That works well to erase files that don't want to be erased.