How to delete file that has invalid name?

Invalid File NAME!!! CAN'T DELETE!!!?

There are two video files, that were down loaded on my friends comp, They can be moved with in the folder, but not moved out of and not deleted...When i right click the files it only gives me options to open the file...No rename, and no delete...What can i do to get rid of them...I've tried safe mode...and no the programs aren't running in the back ground... when it responds to me trying to delete it...all it says is the file name and that its invalid... I can't delete the folder... so i am freaking stumped...
Answer:

You should try Re-Formatting your Computer.

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Other answers

It might be something from the computer that came with it when you bought it or it can be a virus so do a scan..

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