removing Windows files from a Mac

I am very new to Macs. I accidentally downloaded a Windows executable file (one I made on my Windows PC) to my Mac Mini 2011 (OSX Mountain Lion) and it went into the download folder. I would like to remove it, but when I tried to drag it to the trash it would not move. I also tried Terminal with the "rm space" for removal, but again could not drag it to terminal. Any suggestions on how to delete the file which remains in the download folder?
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Mike
http://mstecker.com