Easiest way: reboot & try again. Close any running applications (especially anything that monitors the music folder) and try again.
If that fails, on the assumption you're using XP, you can try this "it it wiv an ammer" approach:
Close everything you can.
Start Task Manager (ctrl-shift-esc) and select the Applications tab. Close anything that's in there. Try to delete the files again. Still in Task Manager, select the Processes tab.
Open a command window (Run... cmd)
In the command window, change directories to the one with the target files (do a "DIR" to confirm you're in the right place)
In Task Manager, highlight "explorer.exe" and click the End Process button.
At the command prompt in the cmd window, delete the files ( DEL filename). Whether they delete or not, carry on with the next step.
In Task Manager, select "File", "New Task", enter "explorer.exe" (no quotes).
At this point, you're either happy or unhappy. If the latter, it weren't my fault
