I got this from Tech Tails (techtails@smalldog.com - a weekly help page from small dog, a Mac reseller).
Assuming you are using OS X:
1) file is on desktop
• Enter terminal mode (in App>Utility)
• cd ~/Desktop
• ls -al
• sudo rm -rf "the offendingfilesname"
• You will be prompted for your password
2) Cannot empty trash
• Enter terminal mode (in App>Utility)
• cd ~/Trash
• sudo rm -rf *
• Youy will prompted for your password
3) For files in other locations
• cd ~/"Name of location"
• ls -al
• sudo rm -rf "the offendingfilesname"
• You will be prompted for your password
MamaMoose