harley, which trojan do you have ?

if its write protected its probably in use .. close all programs you dont need (press ctrl alt delete and have a look at the processes running) .. you can also try to start windows in 'safe' mode (although i am not sure if thats still possible in xp) .. or when nothing else helps try to delete the file from the msdos prompt (which will always leave some traces .. but no dangerous ones i think)