Deleting a "non-existent" file

I downloaded an mpeg that now shows up in explorer with a file size of 0KB. Right clicking only gives me the following options: Play; Open With: Add to Playlist; Add to Burn list; Add to Sync list; Send to. No option to delete, copy, or see properties. I tried just pressing delete; no reponse. I tried using Spybot's Shredder but I can't add the file to the list - it says "File not found. Please verify the correct file name was given." Any idea's on how I can get rid of this file?

Boot in safe mode and see if that'll do it. (while rebooting, after the OEM splash screen, press and hold f8 and you will get a menu in a DOS enviornment with several choices. One of which will be to "Boot in Safe Mode)

It didn't work at first, but with a bit of bullying I managed to get rid of the file. Thanks. Much appreciated.