How to delete an undeletable file?
First thing to try in these cases is to remove it via Terminal:


Open Terminal
Type rm followed by a space
Drag the file into the Terminal window (wait for the green + sign to appear, then release the mouse button) -> Path to file should get added in the Terminal window
Press Enter




Based on your additional information it seems to be phantom file only "known" to Spotlight. To rebuild the Spotlight index, either see Apple's support article on the topic or run

sudo mdutil -E /Volumes/Macintosh\ HD


in Terminal.