Had a couple of botched downloads sitting on my desktop. They somehow turned into zero bytes undeletable files. Finally found a way around it thanks to google.
1. Close all open programs.
2. Open a command prompt.
3. Right-click the taskbar, and select task manager
4. On the Processes tab, select Explorer.exe, and click the End Process button.
5. Minimize Task Manager, but don’t close it.
6. At the command prompt, use the delete command to remove the file, and close the command prompt.
7. In Task Manager, go to File | New Task (Run).
8. In the Create New Task dialog box, enter Explorer.exe, and click OK.
9. Close Task Manager.
Hope this will help those having the same problems.