Password required when deleting file

I am a new mac user and transfered files from my PC. I tried to delete a file and a popup window requires a password. I type the password (it does not tell me it is wrong, unless it is) and I hear a sound, but the file is not deleted. Help!

I think I did this right. Went to terminal; changed directory by typing
cd documents/favorites/
then typed ls and this is what I got:
susan-bruces-macbook-pro:~ susanbruce$ s -ale /Users/susanbruce/Documents/Favorites/Mirtazapine\ A\ Newer\ Antidepressant\ -\ January\ 1,\ 1999\ -\ American\ Academy\ of\ Family\ Physicians.url
-bash: s: command not found
susan-bruces-macbook-pro:~ susanbruce$ cd documents/favorites/
susan-bruces-macbook-pro:favorites susanbruce$ ls
Accessories.URL
Amazon.com Viatek's Dynabrite Tri LED Flashlight Health & Personal Care.url
Andover, Massachusetts (01810) Conditions & Forecast Weather Underground.url
Blockbuster.URL
Club Pogo - Exclusive Games, No Ads, Bigger Prizes!.url
CourierPress The Evansville Courier & Press - Evansville, Indiana.url
Crosswords & Games - New York Times.url
Desktop.ini
Dictionary.com.url
Douglas Johnston's Day Runner Kit DIY Planner.url
EnterPogo Backdoors - Thousand Island Solitaire.url
Extended Service.URL
Fair Indigo.url
Gilmore Girls (a Titles and Air Dates Guide).url
HP Music.URL
Home.URL
Host Monster Review - Web Hosting Bluebook.url
IMDb - Now Playing in the U.S..url
Lima Post.url
Links
MSN.com.url
Master Promissory Note - Complete a New MPN.url
Microsoft Websites
Mirtazapine A Newer Antidepressant - January 1, 1999 - American Academy of Family Physicians.url
Mobile Favorites
Movie Showtimes, Tickets and Reviews from Yahoo! Movies.url
My Product Advisor.url
OVGC - Tell City District Office.url
Online Photos First 25 Free.URL
Peru News.url
Premium Crosswords - New York Times.url
Radio Station Guide.url
Routers with Trend Micro have admin, Internet problems or anti-virus errors.url
Search.URL
Shop.URL
Sonic Solutions.URL
Southern Hills Counseling Centers.url
Spyware Protection.URL
Street Name Signs - We sell D.O.T. approved real street name signs for outdoor or indoor use as fun gifts..url
Symantec Security.URL
The New York Times - Breaking News, World News & Multimedia.url
Trying to Export the Success of a Maine Seabird Program.url
Used Car Listings - MSN Autos.url
VioSoftware.com - Buy Cheap Software Discount Sale Trend Micro PG.url
YouTube - Broadcast Yourself..url
casebolt construction.url
eBay.URL
eDirectSoftware.com -.url
www.sneekin.com.url
susan-bruces-macbook-pro:favorites susanbruce$

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Neil,
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