I found this new file in my "download" folder. It's only 950 bytes, named dexUS828.exe. It was created this morning at 7:07.
I have no idea where did this come from. It must be in one of the IE web pages that I opened this morning. My download agent (net transport) usually downloads everything that will automatically run on a webpage to my download folder, such as mp3 files. I didn't double click on this file. And I never open it.

However, everytime I tried to delete this file, there is always a window jump out and say "it cannot be deleted since some other program is using it". I pressed alt-ctrl-del and this program is not on the list. I also tried to rename it but failed.

I tried Google and found nothing.

What should I do now?

I don't think this is the forum to be asking this question, but I might be able to help you, I had a similar problem not too long ago.

Search on www.downloads.com for a program called System Mechanic. Included with that program is a tool called the "Incinerator," basically a sooped up Recycle Bin. This will give you the option to right click on a file and send it to the Incinerator. Have it do 3 passes or more on the file and POOF gone and it ain't coming back. I've successfully deleted files while I had them opened

Usually, if you are not able to delete a file, it is because the file is in use. i.e the file may be running or executing. So first check the process'es (you can do it in Task Manager) and kill that process before trying to delete the file.

thank you very much, guys. I posted this in computer help and the gurus there also found a way of solving the problem.
thank you again for your kindness.