Just like you delete any other file. On the file explorer click on file until you get choices to delete, copy, etc.
You will not be able to delete the file if the program is running in memory.
Dont exit the programs by clicking on the x on the window. Use the stop or exit buttons provided with the program.
Review all the programs in memory and verify that the file to be delete is not running. (There is one button on the pocket PC to see all programs running)