Here's another idea. Try stopping the task it is working on. That is an IE download icon, which means it is a download in progress. What might have happened is that you disconnected from the net while downloading. Not sure about IE,but in Omniweb, a download will hang indefinitely if you disconnect before completing download. So go to IE download manager (in the window menu), select the guilty download and kill it. Then delete the file.
Again, I'm not sure if this is the cause, but it is likely. The other methods described are good to know about since everything you can't delete will not be all downloads.