Can't seem to delete MPlayerX.dmg from my MacBook

Hello!

Recently I was directed to a streaming website that automatically downloaded a file called MPlayerX.dmg, which seems to be some sort of adware judging by other peoples' experiences with it. I did not actually install the file, but when I went to delete it from my Downloads folder, I found myself unable to empty the trash. Instead, this message pops up:

I don't really understand how it's in use if I never installed it, and it's definitely not in my Applications folder. Any help would be much appreciated! It doesn't seem to be doing anything to my Mac but it is rather annoying just sitting there. I'm using a 2011 MacBook Pro, running Mavericks.