Problem Deleting File!

I have an incomplete downloaded “AVI” file that I can’t delete. The error said it been used by another person or program. I am pretty shore that none of my programs are’nt using it. How may I get around this and is there a way took sheck to see if any what program(s) are using it?
Also I have this “Altnet” folder which is a part of my Kazaa program. I am trying unsucessfully to delete it any ideas?