Had this same problem with Xp and had to use unlocker to solve that...also shift+delete worked a few times. Now a few times had the same problem with W7 and tried several things...but these were with files I didn't care if they got deleted. First shift+delete...reboot and then delete seems to unlock it.
And in regards to Yrags suggestion yes thats what he meant...but you already have extensions showing. But the name it was auto named doesn't seem like something you'd thunk would lock up on you...go figure.
Another thing...and I'm just guessing here...is that maybe the app that renamed them is still open in the background?...and that's what's locking it up?