Delete self-downloaded application

From: Erik (erikmay@bigfoot.com)
Date: 12/15/02 

From: "Erik" <erikmay@bigfoot.com>
Date: Sun, 15 Dec 2002 13:33:49 -0800

An application called "dialler" downloaded itself
(apparently) and is on my harddrive. Cannot simply
delete. Comes up:

"Access is denied. Make sure that the disk is not full
or write protected and that the file is not currently in
use."

Any ideas or work arounds?