There comes a point in every Network Admins life that you must delete a file that is always locked, even those pesky files that won't go away after a reboot or going into safe mode.
Geeks are Sexy has a good article on how to delete pesky undeletable files. I already knew about #1. I always first try to kill "Explorer.exe" from task manager before I do anything drastic. If that doesn't work I move on to number three if I have Unlocker handy.
I typically have either unlocker installed or an Internet connection to download a copy so I have never had to resort to using the Recovery Console on my computer. Also it is far more likely that I would have those then a Windows CD around to use the recovery console as I always forget to install it before hand.