Can't delete jpeg

I have some jpegs in my "Recorded TV" file that won't allow me to delete. When I click on them and hit my 'delete' key it does nothing, right-clicking does not give me a delete option for some reason. How can I delete them?

 

I had a similar problem last month. Two popular shredding utilities failed but eventually I used this one. I think it's called "unlocker". Give it a try

 

Thanks for the help so far. The good news is with Unlocker I was able to delete Spybot, which I was never able to do before. Being a newbie with little knowledge of computers (compared to most of you guys) I consider it somewhat of a victory. When I right-click on the images in the "Recorded TV" file that I DON'T want to delete, it gives me the Unlocker option. However right-clicking on the jpegs that I DO want to delete doesn't give me the Unlocker option. Is there a way I can still use it on just these images?
I also installed MoveOnBoot. But I couldn't figure out how to use it (again,read: newbie). I wasn't sure if typing in the Recorded TV file would remove the whole thing.
Where should I go from here?

 

Anyone?