Open a Command Prompt window and leave it open.
Close all open programs.
Click Start, Run and enter TASKMGR.EXE
Go to the Processes tab and End Process on Explorer.exe.
Leave Task Manager open.
Go back to the Command Prompt window and change to the directory the AVI (or other undeletable file) is located in.
At the command prompt type DEL <filename> where <filename> is the file you wish to delete.
Go back to Task Manager, click File, New Task and enter EXPLORER.EXE to restart the GUI shell.
Close Task Manager.