Can't delete dmg file, say it's in use? (VLC Media)

Hi everyone, so this is my first time owning a mac and I got the Macbook Air. I've recently downloaded the VLC Media Player and installed it, the hard disk drive I guess or the mounted drive opened up so I dragged the VLC app into the applications folder within the mount drive. Then I tried to delete the original dmg file that was downloaded form the Video Lan website, but when I moved it to trash and then tried to empty the trash can it keeps saying to me that "the operation can't be completed because the dmg file is in use". I'm really confused why it keeps saying that because I'm not using it, also when I open up VLC it always verifies it.

Please help?