It's probably because it is the last file you opened with the media player you were using to view it and the player remembers the last file used. Open another video clip and watch it with the same player. Then close all programs and reboot your pc. Then go back in and try and delete the file. If that doesn't work, right click on the file name, go into properties and make sure the clip is not checked off as "read only". If it is, uncheck the box, close out of properties, then try and delete the file.