So, as it turned out, I had the same freaking problem! I was trying to copy all of my documents from one of my SanDisk Cruzer Micro Jump Drives to another. I plugged the old one into my MacBook (Not a MacBook Pro and NOT with Leopard running - just the plain Mac OSX) and copied EVERYTHING from it to the desktop. Then, I removed the old Jump Drive, plugged in the new one, and copied everything from the desktop to it. Unfortunately, the stupid charcoal-colored "LaunchU3.exe" file was still there! Nothing would work - I tried deleting it via the Terminal, that didnt work - I tried opening it up with an application, still no luck - I tried the obvious, too, by dragging it to the trash, putting it into a folder and THEN dragging it to the trash, with no luck because it was "Locked."
I started an search for an answer, first with Google, then with the Apple website. After all is said and done, I found a way. . . .
1. Right click on the file (for me, it was still on my desktop)
2. Click "Get Info"
3. In the new window titled something like "LaunchU3.exe," youll see drop-down windows. Click the one titled "General"
4. There should be a little checkbox "Locked." Simply unlock it!
Freedom!!! I hope this helped someone!