http://www.sysinternals.com/Utilities/P ... lorer.html
Download this thing, and run it. When it starts up, go to Find -> Find Handle or DLL. Type a partial name of that .exe file and press enter. Multiple things may show up on the list, but you should be able to identify your .EXE file somewhere. In the leftmost column (Process), that's the name of the process holding onto your file. Open task manager (by right clicking the task bar and hitting Task Manager), then click the Processes tab, find the process with the same name, right click it and choose End Process, then try to delete the file again.