There's a "bug"(?) in older(?) versions of windows that allows you to rename a file that is in use and delete that. The file will continue to be in use, though.
If that doesn't work, you cannot delete a file that is in use, nor should you try. Stop using it, first, then delete it.
No builtin command work if the standard right click -> delete functionality in the Windows Explorer does not work. Windows gives you this message for a reason.