How to delete old PDF files

I am trying to delete old PDF files that 1/ either I created or 2/ downloaded from instructors at school. I right click and click delete but I keep getting a message FILE IN USE the action can't be completed because the file is open in another program. Does anyone have any suggestions? I am trying to clean up my download and document folders. I found a way to delete 1 page but I want to get rid of the complete file.