Removing -dm.exe Download Manager

From TryMedia -

We are aware that a small portion of users who choose to save the download manager instead of selecting "open" from the download dialog are unable delete the *DM.exe file from their desktops or other download location. We are currently working to reproduce the situation in an effort to resolve the issue. Users have reported that trying to delete the file has resulted in an error message that the file is in use by another person or application, even when the file is not currently running.

While we do not yet know the cause of this behavior, we do have a workaround in place to remove the file:

First, remember to always run the Download Manager and never save it. Now, to delete the Download Manager file, follow these instructions:

Very important: Don't try to delete the Download Manager with Windows Explorer or else you'd have to start the process below all over again -