from your problem, I think you are using windows XP
in run type cmd to enter into DOS => go to the directory where your file is put (if you don't know how to go there, here is the procedure: when you enter DOS, the current directory is C:\Documents and Settings\your user name\, then type: cd my documents to go to the directory of your folder of my documents) => use del to delete the file (eg, if you want to delete the file haha.rm,then just type del haha.rm. you should type the extension name of the file when you want to delete it.
hope you can get it now!