Sometimes you are stuck by not able to delete the file because some application unknown to you is holding the file lock. This freeware (Unlocker) helps you in those scenarios. I haven’t tried it yet, use it at your own risk !
What looked impressive for me is the GUI listing of all applications having locks over files in a folder:
6/November/2013 Update: The download link has been changed from ccollomb.free.fr to Emptyloop. You can now go to the Wikipedia page for Unlocker .