Cannot Delete a file!!

I have a file that is a windows media file (.mpg). I cannot delete it. When I try it tells me that the file cannot be deleted cuz it is being used by another program. After this happens my computer starts to bog down. I checked the ctrl+alt+dlt to see what was going on and the explorer was using 99% of the cpu. It happens like this every single time I do this. If I boot up and try to delete it without touching anything else I still cannot delete it. I even tried in safe mode to no avail. I have pentium 2.4 ghz 512 1066 rambus running Win XP. Does anyone know how to get rid of something like this (without formatting)? Any help would be greatly appreciated.

This could probobly mean that the diskdefragmenter is replacing the file... It happend me once also, and when I retried a few hours later it was no problem...

I also had the 99% cpu explorer problem you had when trying to delete the file in Windows Explorer. When deleting the file from dosprompt, there was no problem.