A file that I canceled while downloading won't delete off my desktop

I was downloading a song and made it download to my desktop. I dont usually do this so I just let it go to the downloads folder but then I cancelled it and now I cant delete it from my desktop. When I try dragging it to my trash it says that it cant be moved to the trash because it cant be deleted. Is there anyway I can get rid of it? It doesn't move anywhere else either. If it was in the downloads folder then I wouldnt care but its really annoying me.

Thanks heaps you can help