How to delete Windows "locked" files?
There are two options for files that came from a Windows drive:


Right click on the file and select "Get Info" (or mark all files and press command + alt + i) to get the file information. There in the "General"-tab you can find and opt-out the "Locked"-option. Trash and delete them.
Open /Applications/Utilities/Terminal.app and type cd /Volumes/YourDrive, then rm -r thefile.exe. If that fails, try sudo rm -r thefile.exe and enter your password. 


Mac has other steps if you can't unlock the file - see this article - TS1402 for details on immutable flags and if the directory permissions won't let you modify a file. The two above steps handle the vast majority of locked files on the mac.