I see from your screen shot that you are running WinXP, and it depends on whether or not you are using NTFS.

I suspect WinXP has locked the file for some reason, so you can try booting in safe mode (hit F8 or hold down CTRL at boot time), and try deleting it ..

If you are using NTFS, you will not be able to use any type of DOS boot, so another option here is to boot the recovery console, which you can do from the WinXP CD, which gives you a DOS like environment.

If you are not familiar with this try this link: http://support.microsoft.com/default...b;EN-US;314058, and use the DEL and/or RD command to get rid of things.