Can't trash a file

I have a file that's called Oil Fast.mov. I can't open it or move it to the trash. When I double click on it to open it, I get this message: "The alias "Oil Fast.mov" can't be opened because the original item can't be found." Then the options to delete, fix or ok. If I click on delete, the window closes and nothing happens....the file is still there. I can't fix the alias because there is no original file.

In the search window, when you click on the file, there is no directory at the bottom of the window to tell you where the file is. If I try to move it out of the search window to the trash, the trash icon turns into an arrow icon, like it's a disk being ejected. But that, too, does nothing.

How do I get rid of this file?