Answer #1: if you can't put it in the trash, it's probably in use. Figure out what's using the file and get that app to release it or close, then you should be able to trash the file.
Answer #2: Secure Empty Trash works just fine! And it frees up the disk space used by trashed files at the same time. Just trash the file, then as analogika says, go to Finder > Secure Empty Trash. Quick, easy, and FREE!