There are some file names that violate the naming rules of Windows, but the system usually refuses to let you create them in the first place. In this case, perhaps Windows allowed you to create a file name that breaks the rules, and then the system chokes on the name and won't even let you correct it. I suspect the problem here is the inclusion of some "illegal" characters, the order or a combination. You actually can delete the file, but it requires going to a DOS prompt. If you tried to delete if from the "MS-DOS Prompt" via the Start/Programs menu and it wasn't successful, then try if from DOS by booting up on a DOS disk.
Then navigate to the directory containing the file and invoked the DOS "delete" command to expunge it. You have to look carefully for the file, because DOS truncates the name to eight characters followed by the DOC extension.
If it still won't delete, then check for file attributes - either -H, -S, -A, etc. Remove the attributes, and then it will delete.