A couple of things you can try - first right-click desktop and select Refresh - then try to delete again.
If that doesn't work you can try Move on Boot, downloaded from here click here
MoveOnBoot allows you to Move, Copy or Delete files before Windows can lock or alter the files. The changes are made to your hard drive before Windows starts (it requires a restart of your system after you give MoveOnBoot its instructions). There are no messy boot or DOS commands, just a simple 3-step process. For more information about how this tool can help you, see the Can't delete files tutorial click here