When I open my HD on the left w/ the list of major folders is a file, stuck

Sorry the question is confusing.
When I open my HD on the left pannel there's the list of all of the major folders, desktop, documents, applications, etc. On the very bottom there is a video file stuck in that list. I've deleted it but it's still there. Whenever I drag it from the list to the garbage it disapears until the next time I open my HD, at which point it is still there.
Whenever I click on the file to play it or something a message pops up that it's volume can't be found.
Please advise.
Thanks,
Jacob

bumpy bump.

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