Well sometimes, its difficult to delete a movie file, sometime its because windows tries to create an index of the movie(Create that snapshot), and somehow the movie has a broken index or something, and windows keeps try to create that index when you click on it, sometimes you can wait till the hdd activity stops trying to read the file, then you can try hit delete.
There are many programs that can delete locked files or unlock the file, maybe try http://www.malwarebytes.org/products/fileassassin/
or try this program that can unlock / force the file to be released, so you can rename or move the file, or just delete , its called Iobit Unlocker, get it here.http://www.iobit.com/iobit-unlocker.html
, but it comes with an package of tools to optimize your system(optional), maybe its a bit to much. (but i use advanced system care, its good for me)