Mor information on what the exact error message sez would have helped. Usually when it refuses to delete a file, it's cause it says that "The file is currently in use by another program" or something along those lines.
If you're using any of the standard (non torrent) P2P programs like kazaa, or bonzi buddy, they will continue to run in the background even after you "shut down" the program... you know, that little K in the system tray? Anyhoo, since you're still sharing and uploading the file, you can't delete it.
So to delete files like that, reboot your PC, check the system tray to see if the P2P program is running, and try and close it from there. right click on the icon and then choose exit.
Once it's done that, then you should be able to delete the files just fine.
Now that you've done that, go and get soem Spyware Remaval programs, because if you've installed Kazaa or Bonzi or a number of the others, you've infected your machine with some very ugly spyware. Try
Spybot Search And Destroy *AND*
Lavasoft's Adaware.
Run BOTH of them at least twice in order to try and clean out the *crap* that the P2P companies load your PC up with.