Have you tried using the RD command from the command prompt with the /S variable? Are you sure the file isn't being held open by some user or process?
From a command prompt, try using the RD command:
Let's say your file is on c:\programs\other\files\others
The command to remove the last folder in the path would be
RD /S C:\programs\other\files\others
To see if someone has the file open, right-click on the MyComputer icon, then go to Manage. Then under "Shared Folders" you'll see "Shares, Sessions & Open Files". Double-check that no open files exist, but also double-check that there are no sessions either.
Have you tried rebooting the machine and then deleting the file?