RAR files are just archive files, like zip. If the file refuses to be deleted then check it's properties, maybe is set on Read only.
If you still have problems with it then the next way is to delete it using something like
http://www.fileshredder.org/
If even this fails your only remaining option left is to boot from a Linux Live-CD and wipe it from there.
Hold down shift on keyboard and press Del key. That should delete the file instantly with out sending it to recycle bin first.
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