I have a .dll file that got stuck on my computer after a virus, I went in to the registry and deleted all the virus files out of there, the only thing that is left is this unwanted dll file called xxfgmy.exe, please tell me how to get ride of this, it says it's running all the time and it can't delete..

Just to clear this up, dll files end in .DLL not exe.

OK try booting into safe mode and removing it from there.