Explorer.exe must not be deleted, why do you wish to delete it?
This is the first time I ever heard someone would like to deleted Explorer.exe, this is a system process, do not try to delete it .otherwise you will have your system crashed.
If you think your computer has infected by virus or Trojan, and the virus or Trojan pretend its process same as Explorer.exe, then I would like to suggest you to use some Virus killer software first.
For some reasons you have lost data in PC,you can try data recovery software next.
I accidentally downloaded it, how do I delete it?
Every time I try, it says that it is open in windows explorer