Why can't I delete a file that I can still see but is no longer on disk?
Using either Unlocker or File Assassin should do the trick. I usually use either of them to delete stubborn files, if BloodPhilia's answer does not work.
Unlocker supports up to Windows 7, but File Assassin supports up to Vista. I've tried it on my Windows 7 box and it works fine.
for me, simply the reason was that somehow after the extension ".pdf" there was a space so it was ".pdf ". after renaming, back to "pdf" I could simply delete the file.