Problem--Please Help

[Shiz]

I downloaded 2 files from kazaa, they appear (the icon) as a white window with a blue border (thats thickest at top, kinda like a dos window). when i open it, a black dos window opens, then closes. i CANNOT delete/move/re-name them; it tells me the program is being used by something else, and to turn it off then delete em, even tho thats not the case. my friend told me that its a "minor" virus...whatever that means. how can i delete them!? Thanks!