Doing it from the terminal:
type "sudo rm "
including the space but not the quotes, then drag the file onto the terminal window and hit return. You'll be prompted to enter your password (as you type you won't see anything, don't be suprised when you don't see the bullets). Hit return again, and you should be all set.
There are other methods available, and some are probably easier to understand, but using the terminal is by far the fastest.