Deleting a file- a simple example of how bad windows vista is

I'd like to share the vista expereince I had last night that has made
me decide to check out linux. A simple example- no 'incompatible drivers' or stuff like that.
I go to this website where there's a link to an mpeg (video) file I want to see. I click on it to open it- the options I get are save or cancel- no open-for some reason Windows media player can't open it online. I save it, then play it with windows media player-it's fine. Now I try to delete the file-windows says the file is corrupted and can't be deleted!(Because Vista always wants the bad files to stay on the compuer?)
I close the media player thinking maybe that's confusing the system, try to delete again.. same answer, try to cut and copy into the recycle bin.. again same answer!
I think OK.. let's change the file to a text file-maybe then it can be deleted. The file name does not contain file type , I go into the properties of the file- file type cannot be changed! I think OK let's use the 'open with' option and open it with notepad anyway and simply select all the data and delete it.. Vista says I can only open it with notepad by making notepad the default program for mpeg files!
I go to the main menu where I expect to see notepad as a shortcut- as I just used it-it's not there- After the menus open up I find notepad and open it
(though I understand there's a nice method in Vista of just typing the first letters of 'notepad'-didn't work for me in any case)
I open the file, select all and delete and save.
Now I try to delete the empty file now containing 0 bytes!.. The file is still on my computer.