If the file is located on a server, the server may have a real or phantom lock on the file.
See http://www.pcmrp.com/it101/2003closeopenfilestart.htm or reboot the server.

or

Your user may not have modify or full rights to delete the file on the server.

see http://www.pcmrp.com/it101/2003foldersharingstart.htm

Spence