are you sure it is a file that you put on there and not something that belongs to the system? if so, then you've hit a strange situation since any file that you 'create' on the phone should belong to you and one should never see the file-lock badge on those files (that symbol means that the device believes that file belongs to some other user, generally the system itself)

you should, however, still be able to delete the file though iTunes via their file management interface. More info: http://www.macobserver.com/tmo…..th_itunes/