Can't Erase .mpg File, What's Going On?

So I downloaded a .mpg file and it randomly won't delete. When I right-click I can't chose an option to erase nor can I use the menu to erase. I can't rename it and I can't send it to another folder, I've checked it with NOD32 antivirus and it doesn't show any anomalies, I'm completely baffled and I do not know what to do. I tried restoring my system to another date and it won't do so either, I tried various different dates and it just won't.I have one peculiar thing though, I tried to maybe replace it so I figured how to get it's name so I copy-pasted onto another .mpg to see if I could overwrite the file but it mentioned how the name was too long, maybe that's why I can't erase it but their must be a way?The only options I get with right-clicking is "Play, add to windows media player list, open with., and send to."