This is a very common problem we face nowadays. Often we try to delete a particular file and a pop up message comes up notifying "Cannot delete file. Close all programs running and then try again".
There can be many reasons for these.
1) Go to Task manager, open the processes tab and look for possible User Application programs linked to the program that might be running. Never interfere with the System processes. After ending the processes try to delete the file.
Eg : If you want to delete an mp3 file..look for media player processes. although no application might be running apparently the process may still be running.
2) If you are not able to locate any such process you delete it using command prompt.
a) Type cmd in your run command.
b) Go to the designated folder eg g:\media\movies\
c) If the file name is No country for Old Men.avi then type "del No*.avi".
d) This will delete the file if you have no applications running apparently.
DOS provides a very easy way to handle basic stuff in which Windows sometimes creates problems.