It is quite likely that Windows has locked the file as it is in use or in an area that Windows does not want to mess with while Windows itself is running.
You can try setting up a delete command in your autoexec.bat to delete that specific file before Windows loads (for this I'm assuming that you are using Windows ME or a previous version of Windows).
Another option is to boot to MS DOS and delete the file.
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This was first published in April 2003