System Hangs Up

I tried converting a AVI file to WMV said the conversion completed. When I try to play the clip nothing happens, the player just opens the first frame and sits there trying to play the clip. Closing the clip the same thing happens, just sits there trying to close. I have to close it by using the task manager. but using the task manager Explorer closes, lose some icons on the task bar.
I tried deleting the clip and the same thing happens, system hangs with opaque screen and have to close with task manager. Closing with task manager, Explorer closes too with missing icons on the task bar.
What is causing the clip to hang up the system like that and how can I delete the clip.