Why can't I delete this file?

[Greenish]

I have been ripping from a CD and collating files. Somewhere along the way I created 12 shortcuts by mistake. I managed to delete 11 of them, however, this 12th one now cannot be deleted. You cannot do ANYTHING with it. Any attempt to delete it simply sends the computer into an infinty of processing, saying "Recycling" and doing nothing.

Why? When? What?