Youre wrong, but thats still ok. If the user creates the files they USUALLY can delete them. I say usually because it all depends on what kind of NTFS permissions are set up. Administrators almost always can delete files and if not then they can take ownership of them, change the security permissions and then delete away. Power users are not greatly restricted either. Of course, if Simple File Sharing is turned on then the NTFS security permissions are hidden.
Could try doing it with a command line: del /f filename.mp3
The /f switch is a force deletion for read only files, which should be the case with your locked mp3 file.