Ok, I have had the same problem...I have found three solutions.
The first involved clicking on the file, and waiting for a bit until the little preview on the side panel loads and all the information about it on the status bar has loaded...they try deleting it.
Another thing that I have found that works is to select the file, and choose Edit --> Cut. Then, close the folder, and paste it into the recycle bin...then just simply empty the recycle bin.
The final solution is to find a file deletion utility. They are widely available for free on the net. Check on Download.com and you should be able to find one
I don't recommend deleting registry entries unless you know what you are doing...you could end up deleting something accidentally and screwing up your computer
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