Can you restart the computer where it is stored and then delete it?
Restart does not help.
For some reason the OS thinks that the file is open and won't let you delete it, judging by the error message that you are seeing. You may need to run a utility (which one depends on the computer's OS) to check for and correct problems with the hard drive, access permissions and its File system.
I assume the file is on the internal boot drive/partition, not on a CD, external drive or USB flash drive.
And your user has Admin rights.
Navigate to the file in the OS (Windows, I suspect), right click, choose properties, unclick any file properties at the bottom.
Start in Safe Mode - [OSX - Shift key down at startup] [Win - F8 tapped repeatedly after computer model splash screen] try delete.
Download utility to delete busy files Win - http://www.softpedia.com/get/System/File-Management/BusyDelete.shtml
OSX force delete options - http://reviews.cnet.com/8301-13727_7-10328342-263.html