Go to Computer Management. You can get there from the control panel, administrative tools, or right-click on My Computer and go to manage.
From there, expand Shared Folders and select the Open Files entry. This will show you all currently opened, shared files on your system. If the one that is preventing deletion is listed, it will tell you what user has it open. You can either have them get out of the document, or right-click on it here in the list and select Close Open File.
Hope that does it!
Make sure you go into Folder Options and check ‘Show hidden files, folders, and drives’ and uncheck “Hide extensions for known file types” and “Hide protected operating system files (Recommended)” I say the extension types just so you will know what you are deleting. If that doesn’t work use a third party app like Killbox and Nuke the thing 🙂 Goodluck.