If you really want to delete it from DOS, then its likely that the bo2kgui.exe file etc. has some special attributes (read only or hidden). You can use switches on the DOS DIR command e.g. DIR bo2kgui.exe /AH /S (from C: ) to list all copies of it that are 'hidden'.
If you want to change the attributes in DOS this can be using the DOS ATTRIB command e.g. ATTRIB -R bo2kgui.exe to remove the 'read-only' attribute (which would then make it deletable via the DEL command).