DONT ASUME THAT IF YOU ARE NOT IN THUMBNAIL VIEW THAT THE FILE IS NOT BEING USED BY WIN!
It checks other information too.
So, when you click a file, it is in use for some time. That time might extend as long as your computer is running
I know, I know. How should I delete it then, you ask?
Well, first you should try wainting. Just like that. Wait some time. Exit folder and eneter again. Wait some time before pressing del.
Next, you shoul try entering another directory QUICKLY after you select the file and press delete. This way WIN will look for information in that directory you just entered, and not on your file. If that file is the only one in folder (or directory) create a new folder, put something in it, then as soon as you press del while desired file is selected, enter this newly created folder.
If this does not work, close all folder, run command (start->run->type cmd). Navigate to folder where file is located (by using cd dirname). Once there type del filename.ext
If windows says that the file is in use even then, then you should enter safe mode and try deleting that way.
During startup sequence (when you turn on your comp) press f8 rapeatedlly until boot menu show up. Select safe mode without networking (or with it, it does not matter). Try deleting the file while in safe mode.
I hope this was helpful!
O yea ,infact that function is built into winxp u just have to press CTRL + ALT + Del, and it brings 
