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.
Or you can try this
Click File>Save As..>
locate the folder where ur undeletable file is
Choose 'All files' from the file type box
click once on the file u wanna delete so its name appears in the 'filename' box
put a " at the start and end of the filename
(the filename should have the extension of the undeletable file so it will overwrite it)
It should ask u to overwrite the existing file, choose yes and u can delete it as normal.