Did you try to restore Factory Settings from Setup? You might want to consider taking backup (PC Suite for 6600 / MMC) before restoring factory settings...
if you received a file through bluetooth, it should fall under the messaging>inbox category. did you move it to the <my folders> section? if yes, try moving it back to the inbox.
Also, if you are using an SD card, check if it is locked or not if you save messages in your mmc/sd.
If that doesnt work, tell me about it. There is another method that I would save for a last resort.
By the way, what is the extension of the file you want to delete?
I had exactly the same problem; I could not delete the file with any of the phone's own utilities or PC Suite, but there was no problem at all when I installed and used "FExplorer" available from www.gosymbian.com. I suggest you give that a go.