Well this depends on what OS you are using as well.
For XP PRO, you need to have permissions for the folder (Setting them up in the security tab), than you can navigate that folder and delete the file. Also, need to have viewing hidden & system files turned on.
The alternative way that works with XP home is spawning explorer under the SYSTEM account and navigating to that folder, however this is a bit tricky. Also once again need to have viewing hidden & system files turned on.