I checked my Windows Explorer and I don't see the file so I am wondering if there is a way to find a particular file or program that is stopping the deletion process from taking place.
Common steps that I take when dealing with this problem:
A simple google search found this tool http://technet.microsoft.com/en-us/sysinternals/bb896653.aspx
Does exactly what you want. Finds the process that has the file open.