Deleting problems

I have a slight problem.
I've downloaded some programs, but when I got them, they turned out to be bogus. I tried to delete them, but I got an error message saying it couldn't be deleted because 'the source or target files are possibly in use' (loosely translated). I've tried restarting, cleaning up my temporary files, but they still won't delete. They're just sitting there on my desktop, cluttering up the space.
Any help?

 

Sounds like you may need this: http://forums.majorgeeks.com/showthread.php?t=35407