If that doesn't work , try this:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\.dll]
"Content Type"="application/x-msdownload"
@="dllfile"
[HKEY_CLASSES_ROOT\dllfile]
@="Application Extension"
[HKEY_CLASSES_ROOT\dllfile\Shell\Register\command]
@="regsvr32.exe \"%1\""
[HKEY_CLASSES_ROOT\dllfile\Shell\UnRegister\command]
@="regsvr32.exe /u \"%1\""
Copy that to a text file and rename the txt file to "anything.reg" and then doubleclick on it. When asked if you want to add it to the registry say yes.
Now when you rightclick on that .dll file you have an option to "unregister" it , do that and see if you can delete it then. (possibly after a reboot)