Are you trying to delete a protected or Windows generated file? You will not be able to delete the latter as it forms part of Windows itself.
If the file is protected (Right click and look at attributes) i.e. Read Only you may not be able to delete it unless you change attributes or are logged on with the correct privileges. Also if the file is in use it will resist deletion. You could try Unlocker click here but make certain you don`t need the contents.