Couple of possibilities that I know of.
1.) You may be using this image in a layout in your design program and it keeps track of where these images are. Sometimes it won't even allow you to move them from one folder to another. Example, a pdf, a flexi file ect... Theres a setting someplace I think to keep the design program such as Flexi to keep from tracking the image locations. Try moving the image to another folder. If you can, try deleting from there.
2.) If you are on a network and the image is in a shared folder and someone on the network is using the file.