Sounds like the DLL has been registered so windows will keep you from deleting it, there are a couple ways to get rid of it if this is the case. Without rebooting, if the file isn't actually being used you should be able to use regsvr32 with the /u option on the file to unregister it (regsvr32 /u C:\path\file.dll) and then you'll be able to delete it. If you don't want to mess with that or it didn't work then try safe mode and delete it there. Also if this loader.exe is part of something that Spybot would recognize then let it detect it and it will give you the option of running before anything can load the next time you reboot, then it will find it again and can delete it easily.