Getting rid of an .Exe file...

I d/led this install for a game but had to cancel halfway thoruhg. This gave it enough time to make a shortcut on my desktop but I can't get rid of it! It says "Cannot Move, File _______. It is currently in use. Close any porgrams using this file and try again."

Where _____ Is the file name(Steaminstall_full in this case)
So I cant move it or delete it or anything and it's one of those things that will annoy me to no end. It's clean because I scanned it with norton and when I actually ran it, it ran under MS-Dos or sumthin. Anyways im runnin XP home and heres the Command Line for Dos..

"C:\DOCUME~1\JONATH~1\Desktop\STEAMI~1.EXE"

I dunno if that helps but nothing else is unusual...anyways anyone know how to get it deleted?

 

Have you tried restarting the system and then deleting it.

That usually helps