I've had problems deleting files on the Vista desktop more than once now, and I've found a few solutions. All of my problems were for video files, but perhaps the solution will be the same for you.
One possible answer is that the Windows Search feature is indexing the file, which prevents you from deleting it. Try disabling the feature via the Services tab of msconfig (type that into the Run window). Restart, and see if you can delete the file.
Another possibility is that the Thumbnail generator built into Windows is accessing the file but can't render a thumbnail. Try disabling thumbnails altogether: in any folder, click Organize, Folder and Search Options, the View tab, and check "always show icons, never thumbnails." Restart (shouldn't need to, but just to be sure) and retry deleting.
If still no luck, you might try programs like Unlock (just google it) that give you improved access to "in use" files. I haven't tried this one, but others had good luck with it.
Here's one that might not work for you, but works for video files: uninstall the program that contains the codec used to open the file you can't delete. For example, if you can't delete a .mov file, uninstall Quicktime and try deleting again. You can reinstall the program when the unwanted file is gone.
Finally, a strange solution, one that saved me very recently: try to delete the file, and wait for the "recycling" window to appear. While it's up, press CTRL+ALT+DEL to bring up the Task Manager. Disable the task explorer.exe and wait a moment; your desktop will disappear. Reinable explorer.exe (click File, New Task, and type explorer.exe) and your desktop will reappear. Right-click the desktop and choose refresh (just to be sure). Now try to delete the file again. It worked for me!