Looks like it's in the internet explorer temporary files area, which can be a pig to get things out of.
It might be worth bringing the machine up in safe mode, then doing a search for the file name, and deleting it that way. Make sure that system restore is turned off temporarily if it's an XP machine. Can't be completely sure, as it's not showing the full file path.
Safe mode will hopefully prevent it from being loaded at startup, which is probably what's preventing it being deleted now, as it's being accessed.