Well, I know a way but dont know how much messy its to you:

1. Click Start > Run > type in taskman > OK, this will open a task manager
2. Look in process "explorer.exe", and finish the task, without closing the task manager
3. In the task manager click on File > New Task(Run) > type in cmd > OK
4. Go to the command line interface, find the file and delete it.
5. Go back to the Windows Task Manager, click File > select New Task (Run) > type in explorer.exe > click OK. And you should be back into explorer and without the file.

Now to do it programmatically you can improve this way in a batch file (I mean .bat)