You can also right click on the taskbar to bring up the taskmanager and open the processes tab to see what is active. Since you were trying to burn something to disk the taskmanager or system restart as advised by others should clear this up. Nero is apparently not shutdown fully where he file is free for deletion.
Did you see a good burn? Obviously the file belongs to something you were burning to removable media there. Make sure that is found on the disk before deleting it.
Have you right clcked on it to see what the name is and what type? Unless downloaded directly to the desktop which I usually advise against you may have some adware that put something there if it's unfamiliar. You have to end the program or process remaining active and have the permissions to delete it.