Need Help Please! Can't delete :(

Please help me if you can, I downloaded the OpenGL v1.1 libraries from the download section mirror ( and have saved it on my desktop. After realizing I’ve got the wrong files I tried to delete the files but I’ve found that I’m unable to delete the opengl95 application icon on my desktop. The pop up window tells me that I cant delete warning me that file might be in use but I know it’s not. Please help me with this problem if you know how to because I’ve tried everyway I know to delete a file but nothing is working so far… Please help! I’ve got a p4 system, running ME. Thank you!