You could try rebooting your phone and deleting the file. It's possible that a running app or service has that file handle open and won't let you delete it for that reason.
It's also possible that maybe the file is already deleted, it's just your app that you're using to view the file that needs to be refreshed. It can't delete a file that doesn't exist.
You could also use TotalCommander to delete the file.
If that doesn't work, you can always plug your phone up to your computer and use ADB.
adb shell rm "/storage/emulated/0/Download/Mario Party 7.apk"
/storage/emulated/0/Download with actual file path)