The file is locked thanks to the integration of IE and Windows itself... The Windows Explorer & desktop use the same core system as internet explorer, so merely booting up windows in graphical mode will launch parts of IE, leading to that wonderful locked file.
You can delete it by either booting in recovery console (text mode), or logging in as a different user that has administrative privileges so it can remove the file from your original user's home directory.
You can delete it by either booting in recovery console (text mode), or logging in as a different user that has administrative privileges so it can remove the file from your original user's home directory.