Undeletable file

Yeah I know I should know better but I use Limewire.....anyways. I downloaded a file, but it does not open. It is a movie file specifically mpg. I've tried deleting it but when I press the delete button nothing happens and I hear a small beep. Same thing when I drag it into the Recycle Bin or even try to rename it. I can't delete it in Safe Mode, and other programs I've downloaded to delete it won't allow the file to even be a possibility of delete. When I right click on it the only options I get are Play, Add to windows media player list, Add to burn list, open with, and sent to. Please help me get rid of it.