You should be able to delete it from your phone by swiping across it on the track selection screen (you should get a Delete button appear on it). Whether you can then re-download it will depend upon what country that you are in (music can't be re-downloaded in all countries) : re-downloading.
If you aren't in a country where you can re-download music or if it re-downloads in the same state then try the 'report a problem' link from your purchase history : log into your account on your computer's iTunes via Store > View My Account (Store > View My Apple ID on iTunes 11) and you should then see a Purchase History section with a 'see all' link to the right of it ; click on that and you should see a list of your purchases ; find that song and use the 'Report a Problem' link and fill in details about the problem (iTunes support should reply within, I think, about 24 hours). This page, whilst not about how to report a problem, shows how to view your purchase history, and includes a screenshot which has the 'report a problem' button on.
Some people have had a problem with the 'report a problem' link (it's been taking people to this site on a browser instead of showing a form in iTunes) - if it does that to you then try contacting iTunes support via this page : http://www.apple.com/support/itunes/contact/- click on Contact iTunes Store Support on the right-hand side of the page.