This is one which has plagued me since getting XP, so I know well all the tricks to get around it. Not hugely important but maybe worth adding here.
PROBLEM
Windows XP won't let you delete a certain non-system file (usually happens with large files), gives you an error saying the file is in use, even though it isn't.
SOLUTION
This problem has various fixes - try each until one works.
1 - Rename the file, then delete it (just delete a character from the filename).
2 - Create an empty file in the same folder (text document will do), select both the trouble file and the blank file you created, delete both at the same time - this will often delete the trouble file when trying to delete it on its own failed.
3 - Copy the filename of the trouble file, navigate to a different folder, create a blank file (text document again), rename the blank file to have the same filename as the trouble file (including the extension), then cut and paste this new, empty file into the folder with the trouble file. Choose OK when asked if you want to replace the trouble file with the blank one, then delete the blank one if XP allows the replacement.
4 - Create an empty folder in the same folder as the trouble file, drag the trouble file into the blank folder, then delete the folder on its own, thereby deleting the trouble file inside it.
5 - Download
Process Explorer and open it. Go to the Find menu and choose Find Handle, type in a part of the filename of the trouble file (choose a part of the filename unlikely to be in use in any other open files or programs), click Search. Click on the correct result in the search window, then right-click on the result this brings up in the lower pane. Choose Close Handle and confirm. Now try to delete the file.
6 - If all of the above fails, just reboot into Safe Mode and delete the file that way.