Do this:

Create a new folder and put an .mp3 in it. Open a new VB6 project. Add the Windows Media Player to it. Set it's URL to the .mp3. Have it play the .mp3. Have it stop the .mp3. Even change the .URL to nothing. Keep the project running and see if you can delete the .mp3 from the folder, making sure to refresh the folder to see if it's truly gone. If not, stop the project and watch it disappear. It's the dumbest thing.