Trying To Delete From Applications Folder

I'm running Windows xp with Parallels 6 on an iMac with Lion. In recently loading some fonts on my iMac, using Font Book, a file called "ZWAdobeF.TTF" has become resident in my Applications Folder on my iMac System Tray. The icon suggests it's a Windows file, as it is displayed with the Parallels icon. It's also locked and I cannot delete it.

I can drag it to the desktop and delete that copy; however, when I return to the Apps Folder, it's still there. It does no good to drag it to the Trash Bin either.

Any help would be greatly appreciated!!

Thanks, simsaladimbamba. Didn't even think to do that, but was able to unlock and delete the file! It's no longer resident in the Applications Folder on my DOCK! :>)

Thanks again.