Downloads - Video, etc. files that will not delete

I'm not sure where I should have asked my question but I have two files on my computer that will not delete. One is a video and the other doesn't seem to do anything but none will delete. When I tell them to delete I get this message:

"Cannot delete this file, Access is denied. Make sure the disk is not full or write-protected or in use." Well it is not in use although the video does open with no problem. I have watched it and no longer want it on my computer but I am getting the above message.

Help! - How can I get rid of these on my computer?

Thanks.
Diana