Can't Delete File

I was using a shareware program (I know it's bad) and I downloaded a file that I can't delete. It's supposed to be a mpg file but it will not play on Windows Media. I've tried to right click and delete but the option isn't there. I also highlighted the item and tried to press delete on the keyboard but that didn't work either. I tried to put the file in another folder so I could delete the whole folder but it won't move either. I don't know what else to do! Can you help me?

Post a HJT Log over into the Malware Removal Forum (not here). We'll take a look at any possible damage the downloaded / undeletable file may be involved with. Then we'll be better able to offer recommendations. Best Regards

Hi Chasity, Ken has completed a reply to you over in the Malware Removal Forum. I am hopeful that his recommendations have been useful to you. Please post back with your status and progress in resolving this problem. Best Regards