If there is an illegal character in the filename, you might try deleting the enclosing folder instead (if there are other files you want to keep, just move them to a copy of the folder). You may also need to boot from the OS install disk and use *Disk Utility* to repair the disk (not repair permissions). See this macosxhints article for other ideas.
I tried to boot from DVD and repair the Disk, but not work.
The file is under a folder. The folder can be renamed, can be moved in the volume as it located in, but can't be moved to other volumes; the folder can't be copied as well. When I try to copy the folder or moved the folder to other volumes, it returns error code -36
The file can't be copied or moved out of the folder. When I try to move the file out of the folder, it returns eror code -43
It sounds like some permissioning error is occuring on this particular file?
Maybe you want to try ls to list out the file/folder? Since you said that FINDER is able to locate the file. Next thing, maybe you want to do a "Get Info" on the affected folder to see if you have the necessary priviledge to delete this file....."Apple+I" key....FYI