The file may be set as a "Read-only" file which makes it difficult but not impossible to delete.
If you can see the file in Windows Explorer try this:
Right click on the file
Click on Properties
If there is a check beside "Read-only" remove the check by clicking in the box beside "Read-only".
Then delete the file.
To change the "Read-only" attribute from a command prompt do the following:
Navigate (go to) the directory that contains the file.
type "attrib -r [file name]" without the quotation marks or brackets. Remember to include the file extension in the file name (example: test1.ppt where test1 is the file name and .ppt is the file extension).
To delete the file from a command prompt type "del [filename]" without the quotation marks or brackets.
http://www.microsoft.com/resources/documentation/windows/xp/all/proddocs/en-us/attrib.mspx?mfr=true
http://www.computerhope.com/delhlp.htm