.jpg file starting to cause problems

There is a .jpg file in my Music folder that I have no idea how it got there, but when I try to remove it, it doesn't let me do anything. If I try to delete it it says it is being used by another progam ( I closed all the programs), and if I right click on it to try and delete, that option is not even there. I am not sure if this .jpg file is even doing anything, but the fact that I cannot delete it gives me reason to worry. Any suggestions?

 

Yes, follow these instructions in the malware forum and see what happens: http://forums.majorgeeks.com/showthread.php?t=35407. No jpg should be in use when you've just started up the computer so if it still says it is in use, I'd be very suspicious.