file with no extension, 0 bytes

As the title says. How to get rid of this f*****?! File name: CAVE76B1. and few others.

Some idiot downloaded bunch of mp3, together with this crap. Rename does not work, dir shows "no file found"...
Scanned the disk, found nothing. Can't leave it there, the bastard left few it in few directories (with, obiously, I cant remove).

Help!

OP here.
>>7
Dont waste your time, delete your system32 folder, it will help.
If that is not possible, remove all your partitions, now.

>>14
The problem is not "file is being used by another program" yadda yadda, but it's name "something.  ". With no extension system goes WTF, and flips me a finger. The file is right there, but it gives me "file not found". The 0 byte size does not help, too.

Antywirus is on all the time, and I cannot prohibit people to use IE. If I remove it, and replace with... Say FF/Opera, there is the problem with all those "WHERE IS MAH INTERNET" people who come in here.