One way to initially get round it might be to click start, then run and in the box that appears type msconfig. Then go to the start up tab and look for anything funny that starts when you boot up. You should have some kind of idea. Sounds to me like it's something thats starting as soon as you power up your pc hence why you can't delete it. There will be a service running as Obonio said that you've not stopped. What is the exe file name?
Other option is type the exe file name into google and see what it is.