A few questions come to mind:
1) Which version of JBoss AS, which version of Windows, and which version of the JVM?
2) How are you starting JBoss AS? Via the command line or as a service? If as a service, which mechanism are you using to register and run JBoss AS as a service?
3) Look in Task Managare and tell us the account used for the java.exe process. (You might have to add that column.)
4) Post the full stack trace for the exception you are getting.
5) Post the code snippet that is attempting the delete. Also post the values of any pertinent variables (such as the file name).
6) Have you run the delete code in a stand-alone Java app? Did it work there?