See, if it's an application then it's probably running in safe mode as well, in which case you won't be able to delete it. If you know the name of the application, then kill the process from the task manager. After this, you should be able to delete the file. If you still can't, try what I've mentioned below.
What has always worked for me for those files that seemingly refuse to get deleted is this. Assuming you're using Windows XP, boot into safe mode, although you can even attempt this from a normal boot. Now open the task manager, and under the Processes tab, right click on explorer.exe and select end process tree. Also, do the same with the largest instance of the svchost.exe file (I don't know if that really matters though).
Now from within task manager, run cmd.exe from the tab applications>new tasks and navigate to the file location using DOS commands and delete it. This should work, it always has for me.