It's called getting "tagged". Happens a lot to FTP servers. This is when folders and/or files get created that contain reserved identifiers and confuse Windows Explorer, making it difficult to delete them.
This product has a free version that is limited to 5 deletion operations and will not delete folders.
Delete FXP Files
http://www.jrtwine.com/products/dfxp/index.htmAlternatively, have you tried the good ol' dir /x trick?
Open a Command Prompt window. Navigate to the folder that holds that file to be deleted.
At the command prompt, type: dir /x
This should produce the usual list of all files in that folder, but with an
extra column before the Long File Names (LFN) showing the Short File Names
(SFN), also known as the 8.3 filenames. Then use the del command with that
SFN.
Doesn't always work, but usually does. Worth a try.