How do I delete the Ubuntu ISO from `System` in windows 7?

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http://askubuntu.com – I tried to get Ubuntu; but the disc I tried to burn didn't work. I don't know what the problem was. I never saw Ubuntu on the computer at Start-up or anywhere. I uninstalled "Ubuntu" which appeared to be in "Add/Remove Programs" in Windows 7 (X64) and deleted any other files I could see (via Search). However, I have "Ubuntu" stuck as an 'ISO' image? in "Downloads" folder, But when I try to delete it, it tells me to "CLOSE UBUNTU IN SYSTEM FIRST" (or words to that effect). But "HOW DO I DO THAT"? (HowTos)