Install Unlocker (functionality like this ought to be built into all OSes): http://ccollomb.free.fr/unlocker/ then try to delete the file again, and when Unlocker tells you what process is using the file, kill all those processes using Task Manager and try to delete the file again it may help to open a Command Prompt window and navigate to your Desktop, because there's a good chance you'll end up needing to kill explorer.exe and then you'll only be able to delete the file by using the command prompt: "del /f (filename)" A couple of other tips: Use Shift-Delete to delete right away and skip the Recycle Bin; also, you may want to use µTorrent 2.0, which is more lightweight than the original BitTorrent client and is still made by BitTorrent, Inc.: http://www.utorrent.com/
I get this image when I press delete. It doesn't even ask me if I want to delete it. It just goes to that, and it never stops.Select the video, wait a few seconds (minutes?), then delete it. And of course have µtorrent or whatever you're using closed while doing that.
So, does it work now?