You should make sure that no part of ICQ is actually running when you are trying to uninstall. ICQ will usually keep a “Net detect” agent running all the time. If you see this in your system tray (the little icons next to your clock), right-click the icon and select Close. This rule is true for any program that you try to uninstall. Windows will be unable to delete any file that is in use by the system at the time.