Probably an AVI file, right?
It's a bug in Windows explorer. Been there since XP was released.
(Possibly even longer, back to WinME.)
Basically it's because Windows is trying to 'helpfully' show preview info
and details, and in the process that locks the file until it finally gets
done with it several minutes later.
The bug is really quite infamous.
Microsoft has no urge to fix it. They seem to have a policy against
actually fixing bugs unless it's security related or crashes the system.
Do a google search for things like 'avi delete fix' and 'undeletable avi'
etc.
There are a couple of registry hacks that can solve the problem. And
there's at least one program that can apply one of those changes for you.