That file is created by a Zone Alarm firewall while it is running. The
reason you can not remove it is it is in use. If you were to stop the
firewall, you could delete it, but I tend to recall that once the
firewall has been exited, the file will disappear from the temp
directory by itself. However, I never turn off my firewall, so have
not noticed recently.
At one time, it seemed that anything in the TEMP directory could be
safely removed. Now it seems more and more programs are actually
keeping information there that is valuable and vital to proper
operation of your system. Adobe Acrobat and Distiller, Word and Excel
and Frontpage are a few that come to mind.
I trust this answers your question, however, if anything requires
further explanation or research, please do post a Request for
Clarification prior to rating the answer and closing the question and
I will be pleased to assist further.