Cannot delete MSDOS Prog

[stingray1200]

I recently downloaded a MSDOS program from the internet, ran it, finished it and I now cannot delete it. I'm no n00b, I've tried ending all the suspicious progs in the task manager and I've run XP in Safe Mode and then ended all the programs in the taskbar (as many as possible, all the non win ones). It still says that it is being used by another program or person and I'm the only one who uses the computer.
I've already virus scanned my whole HD and I'm currently SpybotSearch&Destroy-ing it right now for any adware, but it is an older program.
Any ideas??
Matt

[reboot]

Check autoexec.bat and config.sys for any reference to the file.
Close Explorer.
Open a DOS box, browse to the file location, delete it.