How to explain a bad grade to a delusional student?
My first question to you would be


  Did you lay out the assignment expectations and how the grade would be determined when you gave the assignment?


If the answer is "yes" (and I expect that it is), I would use that as a starting point for explaining to the student why he/she did poorly.

That aside, it seems that either (1) the student didn't understand what was expected (regardless of the question above), and/or (2) the student isn't prepared for the type of work required, and/or (3) the student had a bad day.

It sounds to me like the answer is firmly #2, as repeated attempts to improve the grade hasn't worked.  Given that you've already spent a good deal of time with the student, it might be time to have a heart-to-heart discussion and say that it is time to stop thinking about that grade and to move on.  Obviously, you need to do this diplomatically, but (as they say), to make an omelet you need to break some eggs, and sometimes a firm and diplomatic "get over it" is appropriate.  I would pose the following questions to the student:


Do you have a clear set of goals that you are working on for the class?  
Do you know what other grades are going to be part of the final grade for the class, and do you have a plan for making sure you are ready for each assignment / talk?
Do you conduct practice talks with other students in order to get constructive feedback? (if not, you should!)
(If the problem is English language skills) Have you sought out on-campus help with your writing or speaking skills? (this is available at many larger universities in the States)


Depending on how much time you are willing to devote to helping the student improve, you could also offer to sit in on any future practice talks to give pointers and feedback.  Likewise for written work -- you could offer to pre-read assignments.  This is a slippery slope, so tread carefully.  You want to avoid having the student see you as an always-available tutor, but there are times when providing such support is just part of the job.

Finally, I would stress to the student that one bad grade does not make or break a student, and it is better to make mistakes while in school than later when they might mean more in the bigger picture.  School is about learning, and you learn from mistakes.