Hi Debbie,
Try going into safe mode (press F8 repeatedly during boot up) and see if it will delete. If not, still in safe mode, try running Ad Aware, and Spybot, to see if that gets rid of it. If still no luck, boot back into normal Windows, then temporarily disable System Restore (if you have XP or ME), go back into safe mode, and try the procedures again. Hopefully the info below may help:-
Ad AwareSpybot S&DSpyware BlasterWindows prevents outside programs, including antivirus programs, from modifying System Restore. Therefore, antivirus programs or tools cannot remove threats in the System Restore folder. As a result, System Restore has the potential of restoring an infected file on your computer, even after you have cleaned the infected files from all the other locations.
Also, a virus scan may detect a threat in the System Restore folder even though you have removed the threat.
To disable System Restore, right click your My Computer desktop icon, and select Properties, then the System Restore tab. Untick the box, to switch off System Restore. Don't forget to enable it again, once you have cleaned your machine.
You could also try Clive's suggestion, as he got in first!