When you cant delete a file which is in your inbox the normal way, here is what you can do;

1. Install FExplorer.

2. Launch it and goto the path/folder of your message inbox. If its on the C drive, it would be C:\system\Mail\00001001_S and the same if its on the E.

3. You will notice there are more folders, 0 to9 and a to f. Just go look into all those folders and you should be able to find the file that you wanna delete.

4. Once found, click on Options>File>Delete.

5. Exit FExplorer & goto your Inbox to delete the file again.