That's a new issue to me.
In general, the Windows OS will squawk at you if you try to manipulate a file that is currently in use. This is just a general guess based off of observed windows tendencies, but I would suggest doing this:
1.) Go into the Steam settings and make sure Steam does not auto-load on computer start.
2.) Close Steam outright. Make sure it isn't just minimized to the system tray.
3.) Restart your computer.
Hopefully, this will insure that the file is not "in-use". At this point, try deleting the file again (or whatever you were t