This issue appears to be unique to Firefox.
To delete the file,
- Shift-right-click the file name in Explorer and select Copy as path.
- Open a Cmd window (⊞-R cmd).
- Enter *del \?* and then right-click to paste in the copied path. The result should look something like this:
del \?"C:\Users\SomeUser\Downloads\DATAIM~1.URL" 4. Press Enter to delete the file.
Note: In Windows 11, Copy as path is also available with just a right-click (i.e. shift not needed).