for some reason windows always shows folders as read only !!! and an administrator can delete read only files ... so it's normal
what backup software are you using ... and is it set to do a full multiple version backup? because it will "defend" the versions.
also if it 's set to look for changes as you make them - the software will lock the files (do you get an error message?)
try using one of these file managers
http://www.explorerxp.com/
http://www.primitus.us/a43/
or alternatively - try taking chuck's suggestion one step further - try to use a dos prompt to delete
finally - are you deleteing both versions of the file (PC and NAS) - and is the software set to replicate duplicate or what
(I've seen people delete the file on the NAS - and the software simply copies it back from the PC - and vice versa ... if the software is running you need to stop it before making any changes)
not all nas boxes show file structure changes in explorer you'll need to do view | refresh