There are a few possibilities you might be facing. The most likely, I believe, is that the file is in fact deleted, but the file system still contains records of the file existing. The first thing to try in this scenario is to reboot and see if the file still appears. The second would be to run
chkdsk /r to scan and repair the file system.
If the file continues to appear, it could be locked. You may want to try third party file wipe utilities to remove the locked file.